A Gaussian approximation theorem for Lévy processes

DOI10.1016/J.SPL.2021.109187MaRDI QIDQ2244600zbMATH OpenOpenAlexFDO

Authors David Bang, Jorge González Cázares, Aleksandar Mijatović

Publication date 12 November 2021

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.13855

zbMATH Keywords

central limit theoremKolmogorov distanceLévy process

Mathematics Subject Classification ID

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

Abstract: Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for L'evy processes. This theorem can be viewed as a continuous-time extension of the classical random walk result by Friedman, Katz and Koopmans.

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Cites work

• CONVERGENCE RATES FOR THE CENTRAL LIMIT THEOREM
• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• scientific article; zbMATH DE number 6283558 (Why is no real title available?)
• Small-time moment asymptotics for Lévy processes

Cited in

(6)

• A Donsker theorem for Lévy measures
• A generalization of Gauss-Kuzmin-Lévy theorem
• scientific article; zbMATH DE number 1348430 (Why is no real title available?)
• A multi-dimensional central limit bound and its application to the Euler approximation for Lévy-sdes
• Asymptotic shape of the concave majorant of a Lévy process
• A Lévy theorem for free noises

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