Convergence of trimmed Lévy processes to trimmed stable random variables at 0

DOI10.1016/J.SPA.2015.04.005zbMath1327.60057arXiv1503.05290OpenAlexW2038336362MaRDI QIDQ492945

Yuguang Fan

Publication date: 21 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05290

zbMATH Keywords

convergence in distributiondomain of attractiontrimmed Lévy processtrimmed stable random variables

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52)

Related Items (2)

Tightness and convergence of trimmed Lévy processes to normality at small times ⋮ Functional laws for trimmed Lévy processes

Cites Work

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• Distributional representations and dominance of a Lévy process over its maximal jump processes
• Estimating the degree of activity of jumps in high frequency data
• Small-time behaviour of {L}évy processes
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Stochastic compactness of Lévy processes
• Asymptotic normality of lightly trimmed means – a converse
• On the limit distributions of lightly trimmed sums
• Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
• Convergence in distribution of lightly trimmed and untrimmed sums are equivalent

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