A Functional Limit Theorem for stochastic integrals driven by a time-changed symmetric \alpha-stable L\'evy process
Probability
2013-08-27 v1
Abstract
Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M_1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric \alpha-stable L\'evy process. The time change is given by the inverse \beta-stable subordinator.
Cite
@article{arxiv.1308.5561,
title = {A Functional Limit Theorem for stochastic integrals driven by a time-changed symmetric \alpha-stable L\'evy process},
author = {Enrico Scalas and Noèlia Viles},
journal= {arXiv preprint arXiv:1308.5561},
year = {2013}
}
Comments
20 pages. This paper is accepted to SPA