- Tytuł:
- Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion
- Autorzy:
- Janicki, Aleksander
- Powiązania:
- https://bibliotekanauki.pl/articles/1338939.pdf
- Data publikacji:
- 1999
- Wydawca:
- Polska Akademia Nauk. Instytut Matematyczny PAN
- Tematy:
-
stochastic integrals
α-stable Lévy motion
convergence rates
stochastic processes with jumps
Poissonian series representation - Opis:
- We present a method of numerical approximation for stochastic integrals involving α-stable Lévy motion as an integrator. Constructions of approximate sums are based on the Poissonian series representation of such random measures. The main result gives an estimate of the rate of convergence of finite-dimensional distributions of finite sums approximating such stochastic integrals. Stochastic integrals driven by such measures are of interest in constructions of models for various problems arising in science and engineering, often providing a better description of real life phenomena than their Gaussian counterparts.
- Źródło:
-
Applicationes Mathematicae; 1998-1999, 25, 4; 473-488
1233-7234 - Pojawia się w:
- Applicationes Mathematicae
- Dostawca treści:
- Biblioteka Nauki
Artykuł