A functional limit theorem for stochastic integrals driven by a time-changed symmetric -stable Lévy process

DOI10.1016/J.SPA.2013.08.005zbMATH Open1301.60034arXiv1308.5561OpenAlexW1965924706MaRDI QIDQ2434486FDOQ2434486

Authors: Enrico Scalas, Noèlia Viles 

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M_1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric alpha-stable L'evy process. The time change is given by the inverse �eta-stable subordinator.

Full work available at URL: https://arxiv.org/abs/1308.5561

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zbMATH Keywords

renewal processfunctional limit theoremcontinuous time random walkSkorokhod spaceinverse stable subordinator\(J_1\)-topology\(M_1\)-topologystable subordinatorfractional Poisson processMittag-Leffler waiting time

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05)

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Cited In (13)

• Heavy-tailed fractional Pearson diffusions
• A functional LIL for integrated \(\alpha \) stable process
• Functional limit theorems for nonstationary marked Hawkes processes in the high intensity regime
• Time Change Representation of Stochastic Integrals
• Approximation of a symmetric α-stable Lévy process by a Lévy process with finite moments of all orders
• Fractional diffusion-type equations with exponential and logarithmic differential operators
• The Fractional Hamilton-Jacobi-Bellman Equation
• Functional inequalities for time-changed symmetric \(\alpha \)-stable processes
• Fractionally integrated inverse stable subordinators
• Correlation properties of continuous-time autoregressive processes delayed by the inverse of the stable subordinator
• Functional limit theorems for a new class of non-stationary shot noise processes
• Small and large scale asymptotics of some Lévy stochastic integrals
• Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes

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