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时间变换稳定Levy过程幂变差的极限定理
  • ISSN号：1000-8314
  • 期刊名称：数学年刊A辑(中文版)
  • 时间：0
  • 页码：-
  • 分类：O211.4[理学—概率论与数理统计;理学—数学] O211.64[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]上海海事大学数学系,上海201306, [2]浙江大学数学系,杭州310027
  • 相关基金：本文受到国家自然科学基金（No.10901100,No.11171303）的资助.
  • 相关项目：非高斯OU随机波动率模型的统计推断
作者： 张世斌|林正炎|
关键词： 时间变换Levy过程, 稳定过程, 幂变差, 中心极限定理, Time-Changed Levy process, Stable process, Power variation,Central limit theorem
中文摘要：

研究时间变换α-稳定Levy过程已实现幂变差的极限行为．证明了规范化之后的已实现幂变差一致依概率收敛的大数定律，并给出了除幂次α/2之外其它备幂次已实现幂变差的中心极限定理．

英文摘要：

This paper is concerned with the asymptotic behavior of the realized power variation for time-changed α-stable Levy processes. The authors prove a law of large numbers, which is the uniform convergence in probability of the realized power variation after normalization. The authors also exhibit the central limit theorems of the realized power variation in all the orders except α/2.

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期刊信息
  • 《数学年刊：A辑》
  • 中国科技核心期刊
  • 主管单位:国家教育部
  • 主办单位:复旦大学
  • 主编：李大潜
  • 地址：上海市长乐路746号
  • 邮编：200040
  • 邮箱：edcam@fudan.edu.cn
  • 电话：021-65642338
  • 国际标准刊号：ISSN：1000-8314
  • 国内统一刊号：ISSN：31-1328/O1
  • 邮发代号:4-298
  • 获奖情况:
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国数学评论（网络版）,德国数学文摘,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:4264