Generalized continuous time random walks and Hermite processes

Generalized continuous time random walks with independent, heavy-tailed random waiting times and long range dependent jumps are considered. Their scaling limits are determined in terms of the Hermite processes and inverse of stable subordinators. These limiting processes provide an interesting new class of non-Markovian, non-Gaussian self-similar processes.

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Year of publication:	2015
Authors:	Chen, Zhenlong ; Xu, Lin ; Zhu, Dongjin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 99.2015, C, p. 44-53
Publisher:	Elsevier
Subject:	Continuous time random walk \| Hermite process \| Strictly stable process \| Waiting time process \| Self-similarity \| Scaling limit

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011208330