Matrix normalised stochastic compactness for a Lévy process at zero

DOI10.1214/18-EJP193MaRDI QIDQ1663896zbMATHFDO

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

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)

Recommendations

• Matrix normalized convergence of a Lévy process to normality at zero
• Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
• Laws of the iterated logarithm for self-normalised Lévy processes at zero
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Stochastic compactness of Lévy processes

Cites work

• scientific article; zbMATH DE number 1713116 (Why is no real title available?)
• scientific article; zbMATH DE number 3734847 (Why is no real title available?)
• scientific article; zbMATH DE number 3565817 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Approximate local limit theorems for laws outside domains of attraction
• Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
• Matrix normalization of sums of random vectors in the domain of attraction of the multivariate normal
• Matrix normalized convergence of a Lévy process to normality at zero
• Matrix normalized sums of independent identically distributed random vectors
• Pooling strategies for St. Petersburg gamblers
• Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes
• Stochastic compactness of sample extremes
• The class of limit laws for stochastically compact normed sums

Cited in

(3)

• Stochastic compactness of Lévy processes
• 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

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