Random walks at random times: convergence to iterated Lévy motion, fractional stable motions, and other self-similar processes

DOI10.1214/12-AOP770MaRDI QIDQ359684zbMATH OpenOpenAlexFDO

Authors Greg Markowsky, P. Jung

Publication date 22 August 2013

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.3130, https://projecteuclid.org/euclid.aop/1372859763

zbMATH Keywords

fractional Brownian motionrandom walksself-similar processeslocal times fractional stable motioniterated Lévy motion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Stable stochastic processes (60G52) Self-similar stochastic processes (60G18)

Abstract: For a random walk defined for a doubly infinite sequence of times, we let the time parameter itself be an integer-valued process, and call the orginal process a random walk at random time. We find the scaling limit which generalizes the so-called iterated Brownian motion. Khoshnevisan and Lewis [Ann. Appl. Probab. 9 (1999) 629-667] suggested "the existence of a form of measure-theoretic duality" between iterated Brownian motion and a Brownian motion in random scenery. We show that a random walk at random time can be considered a random walk in "alternating" scenery, thus hinting at a mechanism behind this duality. Following Cohen and Samorodnitsky [Ann. Appl. Probab. 16 (2006) 1432-1461], we also consider alternating random reward schema associated to random walks at random times. Whereas random reward schema scale to local time fractional stable motions, we show that the alternating random reward schema scale to indicator fractional stable motions. Finally, we show that one may recursively "subordinate" random time processes to get new local time and indicator fractional stable motions and new stable processes in random scenery or at random times. When $alpha=2$, the fractional stable motions given by the recursion are fractional Brownian motions with dyadic $Hin(0,1)$. Also, we see that "un-subordinating" via a time-change allows one to, in some sense, extract Brownian motion from fractional Brownian motions with $H<1/2$.

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Cited in

(3)

• Convergence of dependent walks in a random scenery to fBm-local time fractional stable motions
• STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME
• Random-time isotropic fractional stable fields

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