A distributional limit theorem for the realized power variation of linear fractional stable motions
A distributional limit theorem for the realized power variation of linear fractional stable motions
复制标题
线性分数稳定运动实现功率变化的分布极限定理
DOI：
10.17877/de290r-16338
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Sven Glaser
中科院分区：
文献类型：
--
作者：
Sven Glaser
本文推导出线性分数阶稳定运动的可实现功率变化的一个分布定理。采用隶属化的方法，将证明简化为基于马立文微积分的高斯极限定理，证明了该定理。
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.