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

Annals of Applied Probability

Volumn 16, Issue 3, 2006, Pages 1442-1461

  Cohen, Serge ^a,c   Samorodnitsky, Gennady ^b,d  

^a UNIVERSITÉ PAUL SABATIER   (France)

^b Cornell University ^*  (United States)

^c INSTITUT DE MATHÉMATIQUES DE TOULOUSE   (France)

^d School of Operations Research and Industrial Engineering   (United States)

Author keywords

Chaos expansion; Conservative flow; Fractional Brownian motion; Integral representation; Local time; Long memory; Null flow; Random reward; Self similar process; Stable process; Stationary process; Superposition of scaled inputs

Indexed keywords

EID: 33750509599     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051606000000277     Document Type: Article

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