A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process : Sussex Research Online

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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
Schools and Departments:	School of Mathematical and Physical Sciences > Mathematics
Subjects:	Q Science > QA Mathematics > QA0273 Probabilities. Mathematical statistics
Related URLs:	Organisation Publisher
Depositing User:	Enrico Scalas
Date Deposited:	24 Feb 2014 13:40
Last Modified:	02 Jul 2019 21:34
URI:	http://sro.sussex.ac.uk/id/eprint/47621

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