The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion
Pipiras, Vladas ; Taqqu, Murad S.
Bernoulli, Tome 6 (2000) no. 6, p. 607-614 / Harvested from Project Euclid
Levy and Taqqu (2000) considered a renewal reward process with both inter-renewal times and rewards that have heavy tails with exponents α and β, respectively. When 1<α<β< 2 and the renewal reward process is suitably normalized, the authors found that it converges to a symmetric β-stable process Zβ(t), t∈[0,1] which possesses stationary increments and is self-similar. They identified the limit process through its finite-dimensional characteristic functions. We provide an integral representation for the process and show that it does not belong to the family of linear fractional stable motions.
Publié le : 2000-08-14
Classification:  mixed moving average,  self-similarity,  stable distributions
@article{1081449595,
     author = {Pipiras, Vladas and Taqqu, Murad S.},
     title = {The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion},
     journal = {Bernoulli},
     volume = {6},
     number = {6},
     year = {2000},
     pages = { 607-614},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1081449595}
}
Pipiras, Vladas; Taqqu, Murad S. The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion. Bernoulli, Tome 6 (2000) no. 6, pp.  607-614. http://gdmltest.u-ga.fr/item/1081449595/