Asymptotic properties of power variations of Lévy processes

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dc.creatorJacod, Jean
dc.date2005-11-02
dc.date.accessioned2026-07-07T06:50:41Z
dc.date.available2026-07-07T06:50:41Z
dc.descriptionWe determine the asymptotic behavior of the realized power variations, or more generally of sums of a given test function evaluated at the successive increments of a Lévy process. One can completely elucidate the first order behavior (convergence in probability, possibly after normalization). As for the associated CLT, one can show some versions of it, but only in a limited number of cases. In some other cases, a CLT just does not exist.
dc.identifierhttps://arxiv.org/abs/math/0511052
dc.identifierhttp://arxiv.org/abs/math/0511052
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/104738
dc.subjectProbability
dc.titleAsymptotic properties of power variations of Lévy processes
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