Open Access
August 2006 Random rewards, fractional Brownian local times and stable self-similar processes
Serge Cohen, Gennady Samorodnitsky
Ann. Appl. Probab. 16(3): 1432-1461 (August 2006). DOI: 10.1214/105051606000000277

Abstract

We describe a new class of self-similar symmetric α-stable processes with stationary increments arising as a large time scale limit in a situation where many users are earning random rewards or incurring random costs. The resulting models are different from the ones studied earlier both in their memory properties and smoothness of the sample paths.

Citation

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Serge Cohen. Gennady Samorodnitsky. "Random rewards, fractional Brownian local times and stable self-similar processes." Ann. Appl. Probab. 16 (3) 1432 - 1461, August 2006. https://doi.org/10.1214/105051606000000277

Information

Published: August 2006
First available in Project Euclid: 2 October 2006

zbMATH: 1133.60016
MathSciNet: MR2260069
Digital Object Identifier: 10.1214/105051606000000277

Subjects:
Primary: 60G18
Secondary: 60G17 , 60G52

Keywords: chaos expansion , conservative flow , fractional Brownian motion , integral representation , Local time , long memory , null flow , random reward , self-similar process , Stable process , stationary process , superposition of scaled inputs

Rights: Copyright © 2006 Institute of Mathematical Statistics

Vol.16 • No. 3 • August 2006
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