uu.seUppsala University Publications
Change search
ReferencesLink to record
Permanent link

Direct link
Moment measures of heavy-tailed renewal point processes: asymptotics and applications
University of Poitiers.
Uppsala University, Disciplinary Domain of Science and Technology, Mathematics and Computer Science, Department of Mathematics. (Analysis and Probability)
2013 (English)In: ESAIM. P&S, ISSN 1292-8100, Vol. 17, 567-591 p.Article in journal (Refereed) Published
Abstract [en]

We study higher-order moment measures of heavy-tailed renewal models, including a renewal point process with heavy-tailed inter-renewal distribution and its continuous analog, the occupation measure of a heavy-tailed Lévy subordinator. Our results reveal that the asymptotic structure of such moment measures are given by explicit power-law density functions. The same power-law densities appear naturally as cumulant measures of certain Poisson and Gaussian stochastic integrals. This correspondence provides new and extended results regarding the asymptotic fluctuations of heavy-tailed sources under aggregation, and clarifies existing links between renewal models and fractional random processes.

Place, publisher, year, edition, pages
2013. Vol. 17, 567-591 p.
National Category
Probability Theory and Statistics
URN: urn:nbn:se:uu:diva-214479DOI: 10.1051/ps/2012010ISI: 000330023300015OAI: oai:DiVA.org:uu-214479DiVA: diva2:684893
Available from: 2014-01-08 Created: 2014-01-08 Last updated: 2014-02-24Bibliographically approved

Open Access in DiVA

ESAIM-PS-2011-23_R2.pdf(334 kB)61 downloads
File information
File name FULLTEXT01.pdfFile size 334 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Other links

Publisher's full text

Search in DiVA

By author/editor
Kaj, Ingemar
By organisation
Department of Mathematics
In the same journal
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 61 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 205 hits
ReferencesLink to record
Permanent link

Direct link