Convergence of trimmed Lévy processes to trimmed stable random variables at 0

DOI10.1016/J.SPA.2015.04.005MaRDI QIDQ492945zbMATHOpenAlexFDO

Authors Yuguang Fan

Publication date 21 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.05290

zbMATH Keywords

domain of attractionconvergence in distributiontrimmed stable random variablestrimmed Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stable stochastic processes (60G52)

Abstract: Let ${}^{(r,s)}{X}_t$ be the L'evy process $X_t$ with the $r$ largest jumps and $s$ smallest jumps up till time $t$ deleted and let ${}^{(r)}ilde{X}_t$ be $X_t$ with the $r$ largest jumps in modulus up till time $t$ deleted. We show that $({}^{(r,s)}{X}_t-a_t)/b_t$ or $({}^{(r)}ilde{X}_t-a_t)/b_t$ converges to a proper nondegenerate nonnormal limit distribution as $tdownarrow0$ if and only if $(X_t-a_t)/b_t$ converges as $tdownarrow0$ to an $alpha$-stable random variable, with $0<alpha<2$, where $a_t$ and $b_t>0$ are non stochastic functions in $t$. Together with the asymptotic normality case treated in cite{fan2014an}, this completes the domain of attraction problem for trimmed L'evy processes at $0$.

Recommendations

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• Trimmed Lévy processes and their extremal components
• On the limiting behaviour of Lévy processes at zero
• scientific article; zbMATH DE number 1303223
• The Lévy Laplacian and stable processes
• Self-standardized central limit theorems for trimmed Lévy processes
• Almost sure weak convergence of the increments of Lévy processes

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Cited in

(6)

• Trimmed Lévy processes and their extremal components
• Tightness and convergence of trimmed Lévy processes to normality at small times
• Self-standardized central limit theorems for trimmed Lévy processes
• Strong laws at zero for trimmed Lévy processes
• Convergence to stable limits for ratios of trimmed Lévy processes and their jumps
• Functional laws for trimmed Lévy processes

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