scientific article; zbMATH DE number 1303223
This paper deals with the convergence in law of some renormalized sums of random variables towards functionals of \(\alpha\)-stable Lévy motions: those processes with independent (but not necessarily stationary) increments, whose marginals are \(\alpha\)-stable laws. Two types of results are presented. First, limit theorems à la Donsker towards the process itself, where the conditions on the random variables concern their tail distributions, and where the main tool is a now classical criterion of convergence in law for semimartingales proved by \textit{J. Jacod} and \textit{A. N. Shiryaev} [``Limit theorems for stochastic processes (1987; Zbl 0635.60021), p. 423]. Second, convergence of some quadratic forms towards the first iterated stochastic integral of the Lévy motion, where the main argument stems from a paper of \textit{A. Jakubowski, J. Mémin} and \textit{G. Pagès} [Probab. Theory Relat. Fields 81, No. 1, 111-137 (1989; Zbl 0638.60049)]. For the entire collection see [Zbl 0908.00011].
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