Authors: Glaser, Sven
Title: A distributional limit theorem for the realized power variation of linear fractional stable motions
Language (ISO): en
Abstract: In this article we deduce a distributional theorem for the realized power variation of linear fractional stable motions. This theorem is proven by choosing the technique of subordination to reduce the proof to a Gaussian limit theorem based on Malliavin-calculus.
Subject Headings: fractional Lévy processes
limit theorems
infinitely divisible distributions
power variation
URI: http://hdl.handle.net/2003/34261
http://dx.doi.org/10.17877/DE290R-16338
Issue Date: 2015-09
Appears in Collections:Preprints der Fakultät für Mathematik

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