Limit theorems for p-variations of solutions of SDEs driven by additive non-Gaussian stable Levy noise

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dc.creatorHein, C.
dc.creatorImkeller, P.
dc.creatorPavlyukevich, I.
dc.date2008-11-23
dc.date.accessioned2026-07-07T10:20:35Z
dc.date.available2026-07-07T10:20:35Z
dc.descriptionIn this paper we study the asymptotic properties of the power variations of stochastic processes of the type X=Y+L, where L is an alpha-stable Levy process, and Y a perturbation which satisfies some mild Lipschitz continuity assumptions. We establish local functional limit theorems for the power variation processes of X. In case X is a solution of a stochastic differential equation driven by L, these limit theorems provide estimators of the stability index alpha. They are applicable for instance to model fitting problems for paleo-climatic temperature time series taken from the Greenland ice core.
dc.description16 pages, 3 figures
dc.identifierhttps://arxiv.org/abs/0811.3769
dc.identifierhttp://arxiv.org/abs/0811.3769
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/174892
dc.subjectProbability
dc.subject60G52; 60F17; 60H10; 62F10; 62M10; 86A40
dc.titleLimit theorems for p-variations of solutions of SDEs driven by additive non-Gaussian stable Levy noise
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