On weak convergence of filtrations
François Coquet, Jean Mémin, Leszek Slominski (2001)
Séminaire de probabilités de Strasbourg
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François Coquet, Jean Mémin, Leszek Slominski (2001)
Séminaire de probabilités de Strasbourg
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Leszek Slominski (1987)
Séminaire de probabilités de Strasbourg
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Rahimov, Ibrahim, Hasan, Husna (2000)
Bulletin of the Malaysian Mathematical Sciences Society. Second Series
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Jean Jacod (2007)
ESAIM: Probability and Statistics
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We determine the asymptotic behavior of the realized power variations, and more generally of sums of a given function evaluated at the increments of a Lévy process between the successive times Δ for = 0,1,...,. One can elucidate completely the first order behavior, that is the convergence in probability of such sums, possibly after normalization and/or centering: it turns out that there is a rather wide variety of possible behaviors, depending on the structure of jumps and on the...
Hiroshi Kunita (1986)
Annales de l'I.H.P. Probabilités et statistiques
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