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.
scientific article; zbMATH DE number 1529276