Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion

DOI10.4064/AM-25-4-473-488MaRDI QIDQ4522949zbMATH OpenOpenAlexFDO

Authors Aleksander Janicki

Publication date 7 January 2001

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/219221

zbMATH Keywords

\(\alpha\)-stable Lévy motionconvergence ratesPoissonian series representationstochastic integralsstochastic processes with jumps

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic distribution theory in statistics (62E20) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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Cited in

(7)

• Finite difference methods for the generator of 1D asymmetric alpha-stable Lévy motions
• A comparison of two settings for stochastic integration with respect to Lévy processes in infinite dimensions
• On the approximation of Lévy driven Volterra processes and their integrals
• Approximation of stochastic differential equations driven by α-stable Lévy motion
• Approximation of a symmetric α-stable Lévy process by a Lévy process with finite moments of all orders
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• From standard alpha-stable Lévy motions to horizontal visibility networks: dependence of multifractal and Laplacian spectrum

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