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

Citation
Cohen, Serge et Samorodnitsky, Gennady, Random rewards, fractional Brownian local times and stable self-similar processes, Annals of applied probability , 16(3), 2006, pp. 1432-1461
ISSN journal
10505164
Volume
16
Issue
3
Year of publication
2006
Pages
1432 - 1461
Database
ACNP
SICI code
Abstract
We describe a new class of self-similar symmetric .-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.