The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion
There are considered a renewal reward process with both inter-renewal times and rewards that have heavy tails of exponents \(\alpha\) and \(\beta\), respectively, where \(1< \alpha< 2\), \(0<\beta<2\). It was proved by \textit{J. B. Levy} and \textit{M. S. Taqqu} [ibid. 6, No. 1, 23-44 (2000; Zbl 0954.60071)] that the suitably normalized renewal reward process converges to Lévy stable motion with index \(\beta\), possesses stationary increments and is self-similar in the case \(\beta>\alpha\). The limit process was identified through its finite-dimensional characteristic functions. The authors provide an integral representation for the process and show that it does not belong to the family of linear fractional stable motions.
- Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
- From uniform renewal theorem to uniform large and moderate deviations for renewal-reward processes
- Uniform convergence of exact large deviations for renewal reward processes
- Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
- Asymptotics for renewal-reward processes with retrospective reward structure
- Slow, fast and arbitrary growth conditions for renewal-reward processes when both the renewals and the rewards are heavy-tailed
- The structure of self-similar stable mixed moving averages
- Renewal reward processes with heavy-tailed inter-renewal times and heavy-tailed rewards
- A Poisson bridge between fractional Brownian motion and stable Lévy motion
- Properties of strong local nondeterminism and local times of stable random fields
- On limit theorem in some service systems
- Prediction in a Poisson cluster model
- scientific article; zbMATH DE number 4054761 (Why is no real title available?)
- Prediction in a Poisson cluster model with multiple cluster processes
- DEPENDENCE STRUCTURE OF A RENEWAL-REWARD PROCESS WITH INFINITE VARIANCE
- Large deviations of Poisson Telecom processes
- Hausdorff and packing dimensions of the images of random fields
- The on-off network traffic model under intermediate scaling
- Random rewards, fractional Brownian local times and stable self-similar processes
- Small and large scale asymptotics of some Lévy stochastic integrals
This page was built for publication: The limit of a renewal reward process with heavy-tailed rewards is not a linear fractional stable motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1586568)
