Higher Order Fractional Stable Motion: Hyperdiffusion with Heavy Tails

Abstract

We introduce the class of higher order fractional stable motions that can exhibit hyperdiffusive spreading with heavy tails. We define the class as a generalization of higher order fractional Brownian motion as well as a generalization of linear fractional stable motions. Higher order fractional stable motions are self-similar with Hurst index larger than one and non-Gaussian stable marginals with infinite variance and have stationary higher order increments. We investigate their sample path properties and asymptotic dependence structure on the basis of codifference. In particular, by incrementing or decrementing sample paths once under suitable conditions, the diffusion rate can be accelerated or decelerated by one order. With a view towards simulation study, we provide a ready-for-use sample path simulation recipe at discrete times along with error analysis. The proposed simulation scheme requires only elementary numerical operations and is robust to high frequency sampling, irregular spacing and super-sampling.