Asymptotic results for time-changed Lévy processes sampled at hitting times (Q550169): Difference between revisions

The paper considers time-changed Lévy processes \(Y_t = X_{S_t}\) with some continuous time change \(S_t\). This process is sampled at random times, namely, first hitting times of barriers at distance \(\epsilon\) from the level of the process at the previous sampled time. The authors consider the limit for \(\epsilon \rightarrow 0\). They establish a law of large numbers and a functional central limit theorem for the partial sums of functions of the increments of the discretely sampled process. Both the limits and proofs involve weak convergence of first exit times and overshoots of general Lévy processes to the corresponding quantities for stable processes. The results are applied to the filtering of the time change \(S_t\) and to the estimation of the Blumenthal-Getoor index of the Lévy process \(X\).