Asymptotic results for time-changed Lévy processes sampled at hitting times
From MaRDI portal
Publication:550169
DOI10.1016/j.spa.2011.03.013zbMath1230.60050arXiv1007.1414MaRDI QIDQ550169
Mathieu Rosenbaum, Peter Tankov
Publication date: 8 July 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.1414
central limit theorem; hitting times; stable processes; Blumenthal-Getoor index; time-changed Lévy processes; overshoots; statistics of high frequency data
60G51: Processes with independent increments; Lévy processes
62M05: Markov processes: estimation; hidden Markov models
60G52: Stable stochastic processes
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