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Scalas, Enrico and Viles, Noèlia (2014) A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process. Stochastic Processes and their Applications, 124 (1). pp. 385-410. ISSN 0304-4149
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Official URL: http://dx.doi.org/10.1016/j.spa.2013.08.005
Abstract
Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric α-stable Lévy process. The time change is given by the inverse β-stable subordinator.
Item Type: | Article |
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Schools and Departments: | School of Mathematical and Physical Sciences > Mathematics |
Subjects: | Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics |
Related URLs: | |
Depositing User: | Enrico Scalas |
Date Deposited: | 24 Feb 2014 13:40 |
Last Modified: | 08 Mar 2021 16:15 |
URI: | http://sro.sussex.ac.uk/id/eprint/47621 |
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