2008/01/17 by Clément Dombry, Dombry, Clément, Nadine Guillotin‐Plantard +1
Economics, Econometrics and Finance · Mathematics · #60F17 #60G18 #60G52 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
paper · doi:10.48550/arxiv.0801.2753
openalex publication_date 2008/01/17 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The aim of this paper is to present a result of discrete approximation of some class of stable self-similar stationary increments processes. The properties of such processes were intensively investigated, but little is known on the context in which such processes can arise. To our knowledge, discretisation and convergence theorems are available only in the case of stable Lévy motions and fractional Brownian motions. This paper yields new results in this direction. Our main result is the convergence of the random rewards schema, which was firstly introduced by Cohen and Samorodnitsky, and that we consider in a more general setting. Strong relationships with Kesten and Spitzer's random walk in random sceneries are evidenced. Finally, we study some path properties of the limit process.