The α-Dependence of Stochastic Differential Equations Driven by Variants of α-Stable Processes

被引：1

作者：

da Silva, Jose Luis ^{[1
]}

Erraoui, Mohamed ^{[2
]}

机构：

[1] Univ Madeira, CCM, Ctr Exact Sci & Engn, P-9000390 Funchal, Portugal

[2] Univ Cadi Ayyad, Dept Math, Marrakech, Morocco

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 19-20期

关键词：

Levy processes; SDEs; Skorohod space; Uniform tightness; Weak convergence; SMALL JUMPS; APPROXIMATIONS; DISTRIBUTIONS;

D O I：

10.1080/03610926.2011.581172

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we investigate two variants of alpha-stable processes, namely tempered stable subordinators and modified tempered stable process as well as their renormalization. We study the weak convergence in the Skorohod space and prove that they satisfy the uniform tightness condition. Finally, applications to the alpha-dependence of the solutions of SDEs driven by these processes are discussed.

引用

页码：3465 / 3478

页数：14

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