Shot-noise processes with logarithmic response function and their scaling limits
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arXiv
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| Autori principali: | , , |
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| Natura: | Preprint |
| Pubblicazione: |
2026
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| _version_ | 1866917453744832512 |
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| author | Beghin, Luisa Cristofaro, Lorenzo Scalas, Enrico |
| author_facet | Beghin, Luisa Cristofaro, Lorenzo Scalas, Enrico |
| contents | We consider shot-noise processes with an impulse response written in terms of the logarithm of the ratio between current and event time (instead of the usual absolute time difference). We study its finite-time properties as well as its weak convergence, under appropriate scaling and with general assumptions on the dependence of noises on event times. The limiting process coincides with the so-called Hadamard fractional Brownian motion (introduced in Beghin, Cristofaro, Polito (2026)), which represents a middle ground between standard Brownian motion and fractional Brownian motion. It shares with the former the one-dimensional distribution (i.e. Gaussian with the same first two moments), while possessing the long-memory property (within a certain parameter range) of the latter, though with smaller intensity. Therefore, we identify a natural probabilistic scheme based on shot-noise processes whose scaling limit is the Hadamard fractional Brownian motion, thereby providing a concrete stochastic finite-time counterpart of this process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_03503 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Shot-noise processes with logarithmic response function and their scaling limits Beghin, Luisa Cristofaro, Lorenzo Scalas, Enrico Probability 60G22, 60F17, 33C15 We consider shot-noise processes with an impulse response written in terms of the logarithm of the ratio between current and event time (instead of the usual absolute time difference). We study its finite-time properties as well as its weak convergence, under appropriate scaling and with general assumptions on the dependence of noises on event times. The limiting process coincides with the so-called Hadamard fractional Brownian motion (introduced in Beghin, Cristofaro, Polito (2026)), which represents a middle ground between standard Brownian motion and fractional Brownian motion. It shares with the former the one-dimensional distribution (i.e. Gaussian with the same first two moments), while possessing the long-memory property (within a certain parameter range) of the latter, though with smaller intensity. Therefore, we identify a natural probabilistic scheme based on shot-noise processes whose scaling limit is the Hadamard fractional Brownian motion, thereby providing a concrete stochastic finite-time counterpart of this process. |
| title | Shot-noise processes with logarithmic response function and their scaling limits |
| topic | Probability 60G22, 60F17, 33C15 |
| url | https://arxiv.org/abs/2602.03503 |