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

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posted on 2023-06-08, 16:46 authored by Enrico Scalas, Noèlia Viles
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 a-stable Lévy process. The time change is given by the inverse ß-stable subordinator.

History

Publication status

  • Published

Journal

Stochastic Processes and their Applications

ISSN

0304-4149

Publisher

Elsevier

Issue

1

Volume

124

Page range

385-410

Department affiliated with

  • Mathematics Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2014-02-24

First Compliant Deposit (FCD) Date

2021-03-08

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