Generalized fractional Lévy processes with fractional Brownian motion limit

DOI10.1239/aap/1449859802zbMath1333.60074MaRDI QIDQ2786429

Claudia Klüppelberg, Muneya Matsui

Publication date: 12 February 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1449859802

zbMATH Keywords

functional central limit theorem; fractional Brownian motion; regular variation; stochastic integrals; stochastic volatility model; shot-noise process; fractional Ornstein-Uhlenbeck process; sample path properties; generalized fractional Lévy processes

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62P20: Applications of statistics to economics

60F05: Central limit and other weak theorems

60G22: Fractional processes, including fractional Brownian motion

91B70: Stochastic models in economics

91B24: Microeconomic theory (price theory and economic markets)

60G17: Sample path properties

60H05: Stochastic integrals

60F17: Functional limit theorems; invariance principles