Approximations of small jumps of Lévy processes with a view towards simulation (Q2748441)

Let \(X= \{X(t), t>0\}\) be a Lévy process and \(X_\varepsilon\) be the compensated sum of its jumps not exceeding \(\varepsilon> 0\) in absolute value, \(\sigma^2(\varepsilon)= \text{Var }X_\varepsilon(1)\). The aim of this paper is to obtain iff-conditions for \(\sigma^{-1}(\varepsilon) X_\varepsilon\) to be approximated by some Brownian term, to discuss relations of these conditions to the decay of terms in some series representation of the process, as well as, some other related problems, including the rates of convergence. If this condition fails, other possible limits for \(\sigma^{-1}(\varepsilon) X_\varepsilon\) are discussed.