Multistable processes and localizability

Abstract

We use characteristic functions to construct alpha-multistable measures and integrals, where the measures behave locally like stable measures, but with the stability index alpha(x) varying with x. This enables us to construct alpha-multistable processes on R, that is processes whose scaling limit at time t is an alpha(t)-stable process. We present several examples of such multistable processes and examine their localisability.