Approximation of stable random measures and applications to linear fractional stable integrals
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Publication:6239678
arXiv1302.4011MaRDI QIDQ6239678FDOQ6239678
Authors: Clément Dombry, P. Jung 
Publication date: 16 February 2013
Abstract: Using lattice approximations of Euclidean space, we develop a way to approximate stable processes that are represented by stochastic integrals over Euclidean space. Via a stable version of the Lindeberg-Feller Theorem we show that the approximations weakly converge as the mesh-size goes to zero. As an application, we improve upon previous approximation schemes for integrals with respect to linear fractional stable motions.
Fractional processes, including fractional Brownian motion (60G22) Random measures (60G57) Stable stochastic processes (60G52) Stochastic integrals (60H05)
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