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arxiv: 1308.5561 · v1 · pith:6YSMWJ5Hnew · submitted 2013-08-26 · 🧮 math.PR

A Functional Limit Theorem for stochastic integrals driven by a time-changed symmetric α-stable L\'evy process

classification 🧮 math.PR
keywords alpha-stabledrivenintegralsprocessstochasticsymmetrictime-changedassumptions
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Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M_1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric \alpha-stable L\'evy process. The time change is given by the inverse \beta-stable subordinator.

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