Strong and conditional invariance principles for samples attracted to stable laws

DOI10.1007/s004400050110zbMath0883.60014OpenAlexW1973311826MaRDI QIDQ1360696

Krzysztof Podgórski, Michał Ryznar, Raoul Le Page

Publication date: 23 July 1997

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400050110

zbMATH Keywords

weak convergenceoption pricingalmost sure convergencerepresentation of stable laws

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17)

Related Items (7)

Invariance principles for sums of extreme sequential order statistics attracted to Lévy processes ⋮ CONDITIONING VS. STANDARDIZATION FOR CONTRASTS ON ERRORS ATTRACTED TO STABLE LAWS ⋮ Bounds for the accuracy of Poissonian approximations of stable laws ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ An alternative to the \(m\) out of \(n\) bootstrap ⋮ Bootstrapping convex hulls ⋮ Option pricing for infinite variance data

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