English

On the convergence of Le Page series in Skohorod space

Probability 2011-07-13 v1

Abstract

We consider the problem of the convergence of the so-called Le Page series in the Skohorod space \bbDd=\bbD([0,1],\bbRd)\bbD^d=\bbD([0,1],\bbR^d) and provide a simple criterion based on the moments of the increments of the random process involved in the series. This provides a simple sufficient condition for the existence of an α\alpha-stable distribution on \bbDd\bbD^d with given spectral measure.

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Cite

@article{arxiv.1107.2193,
  title  = {On the convergence of Le Page series in Skohorod space},
  author = {Youri Davydov and Clément Dombry},
  journal= {arXiv preprint arXiv:1107.2193},
  year   = {2011}
}

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9 pages