A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process

Enrico Scalas and Noèlia Viles

Stochastic Processes and their Applications, 2014, vol. 124, issue 1, 385-410

Abstract: Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric α-stable Lévy process. The time change is given by the inverse β-stable subordinator.

Keywords: Skorokhod space; J1-topology; M1-topology; Fractional Poisson process; Stable subordinator; Inverse stable subordinator; Renewal process; Mittag-Leffler waiting time; Continuous time random walk; Functional Limit Theorem (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.spa.2013.08.005

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