Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution

Ph. Barbe and W.P. McCormick

Stochastic Processes and their Applications, 2012, vol. 122, issue 4, 1276-1303

Abstract: We prove some heavy-traffic limit theorems for processes which encompass the fractionally integrated random walk as well as some FARIMA processes, when the innovations are in the domain of attraction of a non-Gaussian stable distribution.

Keywords: Heavy traffic; Ruin probability; Fractional random walk; FARIMA process; Fractional Lévy stable process (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spa.2012.01.008

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