A Gaussian approximation theorem for Lévy processes

David Bang, Jorge González Cázares and Aleksandar Mijatović

Statistics & Probability Letters, 2021, vol. 178, issue C

Abstract: Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for Lévy processes. This theorem can be viewed as a continuous-time extension of the classical random walk result by Friedman et al. (1966).

Keywords: Lévy process; Central limit theorem; Kolmogorov distance (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109187

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