Mathematics – Probability
Scientific paper
2011-01-24
Mathematics
Probability
52 pages
Scientific paper
Motivated by applications to insurance mathematics, we prove some
heavy-traffic limit theorems for process which encompass the fractionally
integrated random walk as well as some FARIMA processes, when the innovations
are in the domain of attraction of a nonGaussian stable distribution.
Barbe Ph .
McCormick W. P.
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