Geodesic
Asymptotic properties of power variations of Lévy processes
ESAIM: Probability and Statistics, Tome 11 (2007), pp. 173-196

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We determine the asymptotic behavior of the realized power variations, and more generally of sums of a given function f evaluated at the increments of a Lévy process between the successive times iΔ n for i = 0,1,...,n. 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 chosen test function f. As for the associated central limit theorem, one can show some versions of it, but unfortunately in a limited number of cases only: in some other cases a CLT just does not exist.

DOI : 10.1051/ps:2007013
Classification : 60F17, 60G51
Keywords: central limit theorem, quadratic variation, power variation, Lévy processes 
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     author = {Jacod, Jean},
     title = {Asymptotic properties of power variations of {L\'evy} processes},
     journal = {ESAIM: Probability and Statistics},
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     language = {en},
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Jacod, Jean. Asymptotic properties of power variations of Lévy processes. ESAIM: Probability and Statistics, Tome 11 (2007), pp. 173-196. doi: 10.1051/ps:2007013

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