Weak Convergence to Stochastic Integrals Driven by $\alpha-$Stable L\'evy Processes
Statistics Theory
2014-11-18 v3 Statistics Theory
Abstract
We use the martingale convergence method to get the weak convergence theorem on general functionals of partial sums of independent heavy-tailed random variables. The limiting process is the stochastic integral driven by stable L\'evy process. Our method is very powerful to obtain the limit behavior of heavy-tailed random variables.
Cite
@article{arxiv.1104.3402,
title = {Weak Convergence to Stochastic Integrals Driven by $\alpha-$Stable L\'evy Processes},
author = {Zhengyan Lin and Hanchao Wang},
journal= {arXiv preprint arXiv:1104.3402},
year = {2014}
}
Comments
18pages