Matrix normalised stochastic compactness for a Lévy process at zero

DOI10.1214/18-EJP193zbMATH Open1395.60053MaRDI QIDQ1663896FDOQ1663896

Authors: 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

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zbMATH Keywords

quadratic variationdomain of attractionstochastic compactnessmatrix normalisationsmall time convergencevector-valued Lévy processmatrix-valued Lévy process

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (3)

• Matrix normalized convergence of a Lévy process to normality at zero
• Compactness and continuity properties for a Lévy process at a two-sided exit time
• Stochastic compactness of Lévy processes

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