Convergence of dependent walks in a random scenery to fBm-local time fractional stable motions

DOI10.1215/KJM/1256219156MaRDI QIDQ2654720zbMATH OpenOpenAlexFDO

Authors Serge Cohen, Clément Dombry

Publication date 21 January 2010

Published in Journal of Mathematics of Kyoto University (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0805.3054, https://projecteuclid.org/euclid.kjm/1256219156

zbMATH Keywords

dependent random walksfractional Brownian motionfractional random rewardheavy tailsrandom scenery

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Processes in random environments (60K37)

Abstract: 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 $x{i}_j$ for $jinmathbbZ,$ when the ceiling of the walk $S_n$ is located at $j.$ The random reward (or scenery) $x{i}_j$ 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.

Review text

After giving some motivations the authors explain their concept of a random walk in a random scenery, and they assume the elements of this scenery belonging to the normal domain of attraction of a stable symmetric distribution of index \(\beta \in (0, 2)\). Stated simply, a random walk in a random scenery is a cumulative sum process whose summands are drawn from the scenery, the order in which the summands are drawn is determined by the path of the random walk. Best in the authors' own words: We consider a walk \(Z_n\) that collects random rewards \(\xi_j\) (for \(j\) running through the integers) when the ceiling of the walk \(S_n\) (which is a renormalized sum of dependent Gaussian random variables) 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 increment limits.

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Cited in

(7)

• Chover-type laws of the iterated logarithm for Kesten-Spitzer random walks in random sceneries belonging to the domain of stable attraction
• Choquet random sup-measures with aggregations
• scientific article; zbMATH DE number 2186516 (Why is no real title available?)
• Random walks at random times: convergence to iterated Lévy motion, fractional stable motions, and other self-similar processes
• Empirical processes for recurrent and transient random walks in random scenery
• A local limit theorem for random walks in random scenery and on randomly oriented lattices
• A class of asymptotically self-similar stable processes with stationary increments

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