Complex-order scale-invariant operators and self-similar processes

Abstract

In this paper, we perform the joint study of scale-invariant operators and self-similar processes of complex order. More precisely, we introduce general families of scale-invariant complex-order fractional-derivation and integration operators by constructing them in the Fourier domain. We analyze these operators in detail, with special emphasis on the decay properties of their output. We further use them to introduce a family of complex-valued stable processes that are self-similar with complex-valued Hurst exponents. These random processes are expressed via their characteristic functionals over the Schwartz space of functions. They are therefore defined as generalized random processes in the sense of Gel'fand. Beside their self-similarity and stationarity, we study the Sobolev regularity of the proposed random processes. Our work illustrates the strong connection between scale-invariant operators and self-similar processes, with the construction of adequate complex-order scale-invariant integration operators being preparatory to the construction of the random processes.