Matrix normalised stochastic compactness for a Lévy process at zero

DOI10.1214/18-EJP193zbMath1395.60053MaRDI QIDQ1663896

David M. Mason, Ross A. Maller

Publication date: 24 August 2018

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejp/1532570597

zbMATH Keywords

domain of attractionquadratic variationstochastic compactnessvector-valued Lévy processmatrix normalisationmatrix-valued Lévy processsmall time convergence

Mathematics Subject Classification ID

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

Related Items (1)

Compactness and continuity properties for a Lévy process at a two-sided exit time

Cites Work

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• Approximate local limit theorems for laws outside domains of attraction
• The class of limit laws for stochastically compact normed sums
• Matrix normalized sums of independent identically distributed random vectors
• Matrix normalization of sums of random vectors in the domain of attraction of the multivariate normal
• Stochastic compactness of sample extremes
• Matrix normalized convergence of a Lévy process to normality at zero
• Pooling strategies for St. Petersburg gamblers
• Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes

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