Generalized continuous time random walks and Hermite processes

Zhenlong Chen, Lin Xu and Dongjin Zhu

Statistics & Probability Letters, 2015, vol. 99, issue C, 44-53

Abstract: 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.

Keywords: Continuous time random walk; Hermite process; Strictly stable process; Waiting time process; Self-similarity; Scaling limit (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2014.12.027

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