Title of article
Heavy-traffic approximations for fractionally integrated random walks in the domain of attraction of a non-Gaussian stable distribution
Author/Authors
Barbe، نويسنده , , Ph. and McCormick، نويسنده , , W.P.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
28
From page
1276
To page
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
Ruin probability , Heavy traffic , FARIMA process , Fractional Lévy stable process , Fractional random walk
Journal title
Stochastic Processes and their Applications
Serial Year
2012
Journal title
Stochastic Processes and their Applications
Record number
1578530
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