Generalized continuous time random walks and Hermite processes

DOI10.1016/j.spl.2014.12.027zbMath1319.60087OpenAlexW2086145019MaRDI QIDQ2344866

Lin Xu, Dongjin Zhu, Zhen Long Chen

Publication date: 18 May 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2014.12.027

zbMATH Keywords

self-similarityscaling limitcontinuous time random walkwaiting time processHermite processstrictly stable process

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Sample path properties (60G17) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)

Related Items (1)

PRICING DERIVATIVES IN HERMITE MARKETS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hausdorff and packing dimensions of the images of random fields
• Limit theorems for sums of linearly generated random variables
• Large deviations for local time fractional Brownian motion and applications
• Correlated continuous time random walks
• Weighted sums of i.i.d. random variables attracted to integrals of stable processes
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Moment and probability bounds with quasi-superadditive structure for the maximum partial sum
• Inequalities for increments of stochastic processes and moduli of continuity
• Multiple points of trajectories of multiparameter fractional Brownian motion
• On extremal theory for self-similar processes
• Wavelet-type expansion of the Rosenblatt process
• A note on Rosenblatt distributions
• Stochastic-Process Limits
• Random Walks on Lattices. II
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Limit theorems for continuous-time random walks with infinite mean waiting times
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• Limit theorem for continuous-time random walks with two time scales
• Analysis of the Rosenblatt process
• Limit theorems for occupation times of Markov processes
• Maxima of sums of random variables and suprema of stable processes

This page was built for publication: Generalized continuous time random walks and Hermite processes