Gæsteforedrag: Vytauté Pilipauskaite, University of Luxembourg
07.12.2021 kl. 14.00 - 15.00
Local scaling limits of Lévy driven fractional random fields
In this talk we consider Lévy driven fractional random fields X on R2 written as integral of a non-random function with respect to infinitely divisible random measure. We study local scaling of increments of X taken over points between which the distance in the horizontal and vertical directions shrinks respectively as O(h) and O(h γ) as h → 0 for some γ > 0. We consider two types of increments of X: usual increment and rectangular increment and refer to their local scaling limits as γ-tangent and γ-rectangent random fields respectively. We show that for above X local scaling limits of both types exist for all γ > 0 and undergo a transition at some γ0 > 0. We also discuss properties of these limits.
This is a joint work with Donatas Surgailis (Vilnius University, Lithuania).
Department of Mathematical Sciences
Skjernvej 4A, AUD B - 5.034