Asymptotic behaviour and functional limit theorems for a time changed Wiener process
نویسندگان
چکیده
Abstract We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The change reflects fact that we consider Laplace operator (which generates process) multiplied by possibly degenerate state-space dependent intensity ? ( x ) . Applying functional limit theorem for superposition stochastic processes, prove theorems process. normalization depends on function One possible limits is skew Brownian motion.
منابع مشابه
Chapter 5: Asymptotic Methods and Functional Central Limit Theorems
This chapter sketches the fundamentals of asymptotic distribution theory, and applies these speci cally to questions relating to weak convergence on function spaces. These results have important applications in the analysis of nonstationary time series models. A simple case of the functional central limit theorem for processes with independent increments is stated and proved, after detailing th...
متن کاملA Functional Limit Theorem for Stochastic Integrals Driven by a Time-changed Symmetric Α-stable Lévy Process
Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric α-stable Lévy process. The time change is given by the inverse β-stable subordinator.
متن کاملCentral limit theorems for the nonparametric estimation of time-changed Lévy models
Let {Zt}t≥0 be a Lévy process with Lévy measure ν and let τ(t) := ∫ t 0 g(r̃(u))du be a random clock, where g is a non-negative function and {r̃(t)}t≥0 is an ergodic diffusion independent of Z. Time-changed Lévy models of the form Xt := Zτt are able to incorporate several important stylized features of asset prices, such as leptokurtic distributions and volatility clustering. In our former paper ...
متن کاملCentral limit theorems for the non-parametric estimation of time-changed Le19 evy models
Let {Zt}t≥0 be a Lévy process with Lévy measure ν and let τ(t) := ∫ t 0 g(r̃(u))du be a random clock, where g is a non-negative function and {r̃(t)}t≥0 is an ergodic diffusion independent of Z. Time-changed Lévy models of the form Xt := Zτt are known to be good models to capture several stylized features of asset prices such as leptokurtic distributions and volatility clustering. In our previous ...
متن کاملAsymptotic Expansions in Free Limit Theorems
We study asymptotic expansions in free probability. In a class of classical limit theorems Edgeworth expansion can be obtained via a general approach using sequences of “influence” functions of individual random elements described by vectors of real parameters (ε1, . . . , εn), that is by a sequence of functions hn(ε1, . . . , εn; t), |εj | ≤ 1 n , j = 1, . . . , n, t ∈ A ⊂ R (or C) which are s...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistics & Probability Letters
سال: 2021
ISSN: ['1879-2103', '0167-7152']
DOI: https://doi.org/10.1016/j.spl.2020.108997