Convergence of dependent walks in a random scenery to fBm-local time fractional stable motions
Cohen, Serge ; Dombry, Clément
J. Math. Kyoto Univ., Tome 49 (2009) no. 1, p. 267-286 / Harvested from Project Euclid
It is classical to approximate the distribution of fractional Brownian motion by a renormalized sum $ S_n $ of dependent Gaussian random variables. In this paper we consider such a walk $ Z_n $ that collects random rewards $ \xi_j $ for $ j \in \mathbb Z$, when the ceiling of the walk $ S_n $ is located at $ j$. The random reward (or scenery) $ \xi_j $ is independent of the walk and with heavy tail. We show the convergence of the sum of independent copies of $ Z_n$ suitably renormalized to a stable motion with integral representation, whose kernel is the local time of a fractional Brownian motion (fBm). This work extends a previous work where the random walk $ S_n$ had independent increments limits.
Publié le : 2009-05-15
Classification:  60G18,  60G52,  60F17
@article{1256219156,
     author = {Cohen, Serge and Dombry, Cl\'ement},
     title = {Convergence of dependent walks in a random scenery to fBm-local time fractional stable motions},
     journal = {J. Math. Kyoto Univ.},
     volume = {49},
     number = {1},
     year = {2009},
     pages = { 267-286},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1256219156}
}
Cohen, Serge; Dombry, Clément. Convergence of dependent walks in a random scenery to fBm-local time fractional stable motions. J. Math. Kyoto Univ., Tome 49 (2009) no. 1, pp.  267-286. http://gdmltest.u-ga.fr/item/1256219156/