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arxiv: math/0511052 · v1 · submitted 2005-11-02 · 🧮 math.PR

Asymptotic properties of power variations of L\'{e}vy processes

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keywords asymptoticbehaviorcasespowersomevariationsassociatedcompletely
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We determine the asymptotic behavior of the realized power variations, or more generally of sums of a given test function evaluated at the successive increments of a L\'{e}vy process. One can completely elucidate the first order behavior (convergence in probability, possibly after normalization). As for the associated CLT, one can show some versions of it, but only in a limited number of cases. In some other cases, a CLT just does not exist.

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