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A Lévy Process whose Jumps are Dragged by a Spherical Dynamical System

Part of: Limit theorems Stochastic processes

Published online by Cambridge University Press:  14 July 2016

Brice Franke
Brice Franke*
Affiliation:
Ruhr-Universität Bochum
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Abstract

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We investigate the large scale behaviour of a Lévy process whose jump magnitude follows a stable law with spherically inhomogenous scaling coefficients. Furthermore, the jumps are dragged in the spherical direction by a dynamical system which has an attractor.

Keywords

Scaled Lévy processdynamical systemlarge deviationcentral limit theorem

MSC classification

Secondary: 60G51: Processes with independent increments; L'evy processes 60F17: Functional limit theorems; invariance principles
Type
Research Article
Information
Journal of Applied Probability , Volume 44 , Issue 3 , September 2007 , pp. 732 - 741
Copyright
Copyright © Applied Probability Trust 2007 

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