A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Levy process

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:124

Article

Scalas, Enrico^1,2  Viles, Noelia² 

[1] DISiT Univ Piemonte Orientale, I-15121 Alessandria, Italy

[2] BCAM Basque Ctr Appl Math, E-48009 Bilbao, Basque Country, Spain

关键词: Skorokhod space;    J(1)-topology;    M-1-topology;    Fractional Poisson process;    Stable subordinator;    Inverse stable subordinator;    Renewal process;    Mittag-Leffler waiting time;    Continuous time random walk;    Functional Limit Theorem;   

DOI  :  10.1016/j.spa.2013.08.005

来源: Elsevier

【 摘 要 】

Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M-1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric alpha-stable Levy process. The time change is given by the inverse beta-stable subordinator. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free