# Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion

Applicationes Mathematicae (1999)

- Volume: 25, Issue: 4, page 473-488
- ISSN: 1233-7234

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topJanicki, Aleksander. "Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion." Applicationes Mathematicae 25.4 (1999): 473-488. <http://eudml.org/doc/219221>.

@article{Janicki1999,

abstract = {We present a method of numerical approximation for stochastic integrals involving α-stable Lévy motion as an integrator. Constructions of approximate sums are based on the Poissonian series representation of such random measures. The main result gives an estimate of the rate of convergence of finite-dimensional distributions of finite sums approximating such stochastic integrals. Stochastic integrals driven by such measures are of interest in constructions of models for various problems arising in science and engineering, often providing a better description of real life phenomena than their Gaussian counterparts.},

author = {Janicki, Aleksander},

journal = {Applicationes Mathematicae},

keywords = {stochastic integrals; α-stable Lévy motion; convergence rates; stochastic processes with jumps; Poissonian series representation; -stable Lévy motion},

language = {eng},

number = {4},

pages = {473-488},

title = {Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion},

url = {http://eudml.org/doc/219221},

volume = {25},

year = {1999},

}

TY - JOUR

AU - Janicki, Aleksander

TI - Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion

JO - Applicationes Mathematicae

PY - 1999

VL - 25

IS - 4

SP - 473

EP - 488

AB - We present a method of numerical approximation for stochastic integrals involving α-stable Lévy motion as an integrator. Constructions of approximate sums are based on the Poissonian series representation of such random measures. The main result gives an estimate of the rate of convergence of finite-dimensional distributions of finite sums approximating such stochastic integrals. Stochastic integrals driven by such measures are of interest in constructions of models for various problems arising in science and engineering, often providing a better description of real life phenomena than their Gaussian counterparts.

LA - eng

KW - stochastic integrals; α-stable Lévy motion; convergence rates; stochastic processes with jumps; Poissonian series representation; -stable Lévy motion

UR - http://eudml.org/doc/219221

ER -

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