Power variation from second order differences for pure jump semimartingales

DOI10.1016/j.spa.2013.04.005zbMath1323.60060OpenAlexW2101502127MaRDI QIDQ2447655

Viktor Todorov

Publication date: 28 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.spa.2013.04.005

zbMATH Keywords

central limit theoremLévy processstable convergencepower variationBlumenthal-Getoor indexjump activitypure-jump semimartingale

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Functional limit theorems; invariance principles (60F17)

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