Limit behavior of Ito finite sums with avaraging

N. V. Lazakovich   ; O. L. Yablonskii

Teoriâ veroâtnostej i ee primeneniâ, Tome 50 (2005) no. 4, pp. 711-732

Résumé

In the paper the limiting behavior of finite sums with averaging containing Lévy processes is considered. For this purpose a new class of stochastic integrals for Lévy processes including, in particular, the Itô integral, Stratonovich integral, and others, is defined. By using these integrals complete classification of the limiting behavior of the considered sums is given.

Détail

Keywords: algebra of generalized stochastic processes, stochastic integral.
Mots-clés : Lévy processes

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