Self-stabilizing processes

Abstract

We construct "self-stabilizing" processes {Z(t), t ∈[t0,t1)}. These are random processes which when "localized", that is scaled around t to a fine limit, have the distribution of an α(Z(t))-stable process, where α is some given function on ℝ. Thus the stability index at t depends on the value of the process at t. Here we address the case where α: ℝ → (0,1). We first construct deterministic functions which satisfy a kind of autoregressive property involving sums over a plane point set Π. Taking Π to be a Poisson point process then defines a random pure jump process, which we show has the desired localized distributions.