Small-time compactness and convergence behavior of deterministically and self-normalised Lévy processes

DOI10.1090/S0002-9947-09-05032-6zbMATH Open1202.60036MaRDI QIDQ3552106FDOQ3552106

Authors: David M. Mason, Ross A. Maller 

Publication date: 13 April 2010

Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)

Recommendations

• Convergence in distribution of Lévy processes at small times with self-normalization
• Laws of the iterated logarithm for self-normalised Lévy processes at zero
• Distributional representations and dominance of a Lévy process over its maximal jump processes
• Stability and attraction to normality for Lévy processes at zero and at infinity
• A characterization of small and large time limit laws for self-normalized Lévy processes

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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Cited In (20)

• A generalization result regarding the small and large scale behavior of infinitely divisible processes
• Darling-Erdős theorem for Lévy processes at zero
• Intermittency in the small-time behavior of Lévy processes
• On a conjecture of Seneta on regular variation of truncated moments
• Stability and attraction to normality for Lévy processes at zero and at infinity
• Randomly weighted self-normalized Lévy processes
• Laws of the iterated logarithm for self-normalised Lévy processes at zero
• Matrix normalised stochastic compactness for a Lévy process at zero
• Functional laws for trimmed Lévy processes
• Matrix normalized convergence of a Lévy process to normality at zero
• A characterization of small and large time limit laws for self-normalized Lévy processes
• Erratum to: The asymptotic distribution of self-normalized triangular arrays
• Compactness and continuity properties for a Lévy process at a two-sided exit time
• Intrinsic small time estimates for distribution densities of Lévy processes
• Tightness and convergence of trimmed Lévy processes to normality at small times
• Self-standardized central limit theorems for trimmed Lévy processes
• Stochastic compactness of Lévy processes
• Convergence of trimmed Lévy processes to trimmed stable random variables at 0
• Distributional representations and dominance of a Lévy process over its maximal jump processes
• Convergence in distribution of Lévy processes at small times with self-normalization

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