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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