Name
Title | ||
|---|---|---|
On Convergence Of Random Walks Having Jumps With Finite Variances To Stable Levy Processes |
Abstract | ||
|---|---|---|
A functional limit theorem is proved establishing weak convergence of random walks generated by compound doubly stochastic Poisson processes to Levy processes in the Skorokhod space. As corollaries, theorems are proved on convergence of random walks with jumps having finite variances to Levy processes with mixed normal distributions, in particular, to stable Levy processes. |
Year | DOI | Venue |
|---|---|---|
2013 | 10.7148/2013-0601 | PROCEEDINGS 27TH EUROPEAN CONFERENCE ON MODELLING AND SIMULATION ECMS 2013 |
Keywords | Field | DocType |
Stable distribution, Levy process, alpha-stable Levy process, compound doubly stochastic Poisson process (compound Cox process), Skorokhod space, transfer theorem | Wiener process,Square-integrable function,Normal distribution,Weak convergence,Upper and lower bounds,Random walk,Pure mathematics,Poisson distribution,Lévy process,Mathematics | Conference |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Victor Korolev | 1 | 16 | 11.26 |
| Vladimir Bening | 2 | 14 | 4.00 |
| Lilya Zaks | 3 | 0 | 0.34 |
| Alexander I. Zeifman | 4 | 44 | 17.93 |