The search session has expired. Please query the service again.

The search session has expired. Please query the service again.

Displaying similar documents to “Convergence of Submartingales to an Increasing Process under Discretization of Filtrations”

Asymptotic properties of power variations of Lévy processes

Jean Jacod (2007)

ESAIM: Probability and Statistics

Similarity:

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...