From infinite urn schemes to self-similar stable processes - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2020

From infinite urn schemes to self-similar stable processes

Résumé

We investigate the randomized Karlin model with parameter $\beta\in(0,1)$, which is based on an infinite urn scheme. It has been shown before that when the randomization is bounded, the so-called odd-occupancy process scales to a fractional Brownian motion with Hurst index $\beta/2\in(0,1/2)$. We show here that when the randomization is heavy-tailed with index $\alpha\in(0,2)$, then the odd-occupancy process scales to a $(\beta/\alpha)$-self-similar symmetric $\alpha$-stable process with stationary increments.
Fichier principal
Vignette du fichier
ODGSYW.pdf (366.29 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01622790 , version 1 (24-10-2017)

Identifiants

Citer

Olivier Durieu, Gennady Samorodnitsky, Yizao Wang. From infinite urn schemes to self-similar stable processes. Stochastic Processes and their Applications, 2020. ⟨hal-01622790⟩
104 Consultations
66 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More