Weak Convergence to Stochastic Integrals Driven by $\alpha-$Stable L\'evy Processes

Autor:	Lin, Zhengyan, Wang, Hanchao
Rok vydání:	2011
Předmět:	Mathematics - Statistics Theory
Druh dokumentu:	Working Paper
Popis:	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 $\alpha-$stable L\'evy process. Our method is very powerful to obtain the limit behavior of heavy-tailed random variables. Comment: 18pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1104.3402 Zobrazit plný text záznamu View this record from Arxiv