Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution

Stochastic Processes and their Applications

Volumn 122, Issue 4, 2012, Pages 1276-1303

  Barbe, Ph ^a   McCormick, W P ^b  

^a Université de Cergy Pontoise   (France)

^b UNIVERSITY OF GEORGIA   (United States)

Author keywords

FARIMA process; Fractional L vy stable process; Fractional random walk; Heavy traffic; Ruin probability

Indexed keywords

FARIMA PROCESS; HEAVY TRAFFICS; RANDOM WALK; RUIN PROBABILITY; STABLE PROCESS;

GAUSSIAN NOISE (ELECTRONIC); STABILITY CRITERIA;

RANDOM PROCESSES;

EID: 84857952802     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2012.01.008     Document Type: Article

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