Approximation of stable random measures and applications to linear fractional stable integrals

Clément Dombry; Paul Jung

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arXiv · 1302.4011

Approximation of stable random measures and applications to linear fractional stable integrals

Clément Dombry·Paul Jung

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Abstract

Using lattice approximations of Euclidean space, we develop a way to approximate stable processes that are represented by stochastic integrals over Euclidean space. Via a stable version of the Lindeberg-Feller Theorem we show that the approximations weakly converge as the mesh-size goes to zero. As an application, we improve upon previous approximation schemes for integrals with respect to linear fractional stable motions.

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Clément Dombry, Paul Jung. 2013-02-16. Approximation of stable random measures and applications to linear fractional stable integrals. https://arxiv.org/abs/1302.4011

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