Random rewards, fractional Brownian local times and stable self-similar processes

被引：23

作者：

Cohen, Serge

Samorodnitsky, Gennady

机构：

[1] Univ Toulouse 3, Inst Math, Lab Stat & Probabil, F-31062 Toulouse, France

[2] Cornell Univ, Sch Operat Res & Ind Engn, Ithaca, NY 14853 USA

来源：

ANNALS OF APPLIED PROBABILITY | 2006年 / 16卷 / 03期

关键词：

stable process; self-similar process; stationary process; integral representation; conservative flow; null flow; fractional Brownian motion; local time; random reward; chaos expansion; superposition of scaled inputs; long memory;

D O I：

10.1214/105051606000000277

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We describe a new class of self-similar symmetric a-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.

引用

页码：1432 / 1461

页数：30

共 39 条

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