Discrete approximation of a stable self-similar stationary increments process

Details Discrete approximation of a stable self-similar stationary increments process Discrete approximation of a stable self-similar stationary increments process

2008-01-17

arxiv.org/abs/0801.2753v1

Mathematics

Probability

31 pages

Scientific paper

The aim of this paper is to present a result of discrete approximation of some class of stable self-similar stationary increments processes. The properties of such processes were intensively investigated, but little is known on the context in which such processes can arise. To our knowledge, discretisation and convergence theorems are available only in the case of stable L\'evy motions and fractional Brownian motions. This paper yields new results in this direction. Our main result is the convergence of the random rewards schema, which was firstly introduced by Cohen and Samorodnitsky, and that we consider in a more general setting. Strong relationships with Kesten and Spitzer's random walk in random sceneries are evidenced. Finally, we study some path properties of the limit process.

Affiliated with

Also associated with

No associations

Rating

Discrete approximation of a stable self-similar stationary increments process does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Discrete approximation of a stable self-similar stationary increments process, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Discrete approximation of a stable self-similar stationary increments process will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-393651