A class of asymptotically self-similar stable processes with stationary increments
| Authors | |
|---|---|
| Publication date | 2014 |
| Journal | Stochastic Processes and their Applications |
| Volume | Issue number | 124 | 12 |
| Pages (from-to) | 3986-4011 |
| Organisations |
|
| Abstract | We generalize the BM-local time fractional symmetric image-stable motion introduced in Cohen and Samorodnitsky (2006) by replacing the local time with a general continuous additive functional (CAF). We show that the resulting process is again symmetric image-stable with stationary increments. Depending on the CAF, the process is either self-similar or lies in the domain of attraction of the BM-local time fractional symmetric image-stable motion. We also show that the process arises as a weak limit of a discrete "random rewards scheme" similar to the one described by Cohen and Samorodnitsky. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1016/j.spa.2014.07.014
(Final published version)
|
| Permalink to this page | |