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

• 成果类型: Article
• 署名作者: Cohen, Serge; Samorodnitsky, Gennady
• 署名单位: Universite de Toulouse; Universite Toulouse III - Paul Sabatier; Cornell University
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051606000000277
• 发表日期: 2006
• 页码: 1432-1461
• 关键词: sample path properties; limit; motion

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.