A Characterization of Small and Large Time Limit Laws for Self-normalized Lévy Processes

DOI10.1007/978-3-642-36068-8_8zbMath1277.60083OpenAlexW50527450MaRDI QIDQ2848104

David M. Mason, Ross A. Maller

Publication date: 25 September 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-36068-8_8

zbMATH Keywords

stable lawsLévy processquadratic variationsmall timeslarge timesself-normalizeddomain of attraction of normal distribution

Mathematics Subject Classification ID

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

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Compactness and continuity properties for a Lévy process at a two-sided exit time ⋮ Distributional representations and dominance of a Lévy process over its maximal jump processes

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