Approximations of small jumps of Lévy processes with a view towards simulation
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Publication:2748441
DOI10.1239/jap/996986757zbMath0989.60047OpenAlexW2166831536MaRDI QIDQ2748441
Publication date: 29 July 2002
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/996986757
functional central limit theoremLévy processesBrownian motionstable processesBerry-Esseen theoremGamma process
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17) Probabilistic methods, stochastic differential equations (65C99)
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