Representations of Hermite processes using local time of intersecting stationary stable regenerative sets

Abstract

Hermite processes are a class of self-similar processes with stationary increments. They often arise in limit theorems under long-range dependence. We derive new representations of Hermite processes with multiple Wiener-Itô integrals, whose integrands involve the local time of intersecting stationary stable regenerative sets. The proof relies on an approximation of regenerative sets and local times based on a scheme of random interval covering.

17 pages, to appear in Journal of Applied Probability