Sample Path Properties of Self-Similar Processes with Stationary Increments

A real-valued process $X = (X(t))_{t\in\mathbb{R}}$ is self-similar with exponent $H (H$-ss), if $X(a\cdot) =_d a^HX$ for all $a > 0$. Sample path properties of $H$-ss processes with stationary increments are investigated. The main result is that the sample paths have nowhere bounded variation if $0 < H \leq 1$, unless $X(t) \equiv tX(1)$ and $H = 1$, and apart from this can have locally bounded variation only for $H > 1$, in which case they are singular. However, nowhere bounded variation may occur also for $H > 1$. Examples exhibiting this combination of properties are constructed, as well as many others. Most are obtained by subordination of random measures to point processes in $\mathbb{R}^2$ that are Poincare, i.e., invariant in distribution for the transformations $(t, x) \mapsto (at + b, ax)$ of $\mathbb{R}^2$. In a final section it is shown that the self-similarity and stationary increment properties are preserved under composition of independent processes: $X_1 \circ X_2 = (X_1(X_2(t)))_{t\in \mathbb{R}}$. Some interesting examples are obtained this way.