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 $\alpha$-stable Lévy process. The time change is given by the inverse $\alpha$-stable subordinator.
A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process / Scalas, E.; Viles, N.. - In: STOCHASTIC PROCESSES AND THEIR APPLICATIONS. - ISSN 0304-4149. - 124:1(2014), pp. 385-410. [10.1016/j.spa.2013.08.005]
A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process
Scalas E.;
2014
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 $\alpha$-stable Lévy process. The time change is given by the inverse $\alpha$-stable subordinator.File allegati a questo prodotto
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