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 |
Files in This Item:
File | Description | Size | Format | |
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Preprint 2015-11.pdf | 428.19 kB | Adobe PDF | View/Open |
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