A class of asymptotically self-similar stable processes with stationary increments

We generalize the BM-local time fractional symmetric αα-stable motion introduced in Cohen and Samorodnitsky (2006) by replacing the local time with a general continuous additive functional (CAF). We show that the resulting process is again symmetric αα-stable with stationary increments. Depending on the CAF, the process is either self-similar or lies in the domain of attraction of the BM-local time fractional symmetric αα-stable motion. We also show that the process arises as a weak limit of a discrete “random rewards scheme” similar to the one described by Cohen and Samorodnitsky.