Geodesic
Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion
Applicationes Mathematicae, Tome 25 (1999) no. 4, pp. 473-488.

Voir la notice de l'article provenant de la source Institute of Mathematics Polish Academy of Sciences

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.
DOI : 10.4064/am-25-4-473-488
Keywords: stochastic integrals, α-stable Lévy motion, convergence rates, stochastic processes with jumps, Poissonian series representation

Aleksander Janicki 1

1 
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Aleksander Janicki. Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion. Applicationes Mathematicae, Tome 25 (1999) no. 4, pp. 473-488. doi : 10.4064/am-25-4-473-488. http://geodesic.mathdoc.fr/articles/10.4064/am-25-4-473-488/

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