Power variation for Itô integrals with respect to \(\alpha\)-stable processes

DOI10.1111/j.1467-9574.2010.00463.xMaRDI QIDQ6573271

José Manuel Corcuera, Gergely Farkas

Publication date: 16 July 2024

Published in: Statistica Neerlandica (Search for Journal in Brave)

zbMATH Keywords

central limit theoremstable processespower variation

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Stochastic processes (60Gxx) Limit theorems in probability theory (60Fxx)

Cites Work

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• Multipower variation for Brownian semistationary processes
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• The central limit theorem for stochastic integrals with respect to Levy processes
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• A Functional Central Limit Theorem for the Realized Power Variation of Integrated Stable Processes
• Bipower Variation for Gaussian Processes with Stationary Increments
• Variational Sums for Additive Processes
• La variation d'ordre p des semi-martingales
• Estimation of integrated volatility in stochastic volatility models
• Power Variation and Time Change

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