The Central Limit Theorem for Stochastic Integrals with Respect to Levy Processes
Gine, Evarist ; Marcus, Michel B.
Ann. Probab., Tome 11 (1983) no. 4, p. 58-77 / Harvested from Project Euclid
Let $M$ be a symmetric independently scattered random measure on $\lbrack 0, 1\rbrack$ with control measure $m$ which is uniformly in the domain of normal attraction of a stable measure of index $p \in (0, 2\rbrack$. Let $f$ be a non-anticipating process with respect to $X(t) = M\lbrack 0, t\rbrack$ if $m$ is continuous, and a previsible process in general, satisfying $\int^1_0 E|f|^p dm < \infty$. Then the stochastic integral $\int^t_0 f dM$ can be defined as a process in $D\lbrack 0, 1\rbrack$ and is in the domain of normal attraction of a stable process of order $p$ in $D\lbrack 0, 1\rbrack$ in the sense of of weak convergence of probability measures. If $M$ is Gaussian and continuous in probability then the central limit theorem holds in $C\lbrack 0, 1\rbrack$; in particular, Ito and diffusion processes satisfy the CLT. Our main tool is an upper bound for the weak $L^p$ norm of $\sup_{0 \leq t \leq 1} |\int^t_0 f dM|$ in terms of the $L^p(P \times m)$ norm of $f$.
Publié le : 1983-02-14
Classification:  Domains of attraction in $D\lbrack 0, 1 \rbrack$ and $C\lbrack 0, 1 \rbrack$,  functional central limit theorems,  stochastic integrals,  maximal inequalities,  60B12,  60H05,  60F17
@article{1176993660,
     author = {Gine, Evarist and Marcus, Michel B.},
     title = {The Central Limit Theorem for Stochastic Integrals with Respect to Levy Processes},
     journal = {Ann. Probab.},
     volume = {11},
     number = {4},
     year = {1983},
     pages = { 58-77},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993660}
}
Gine, Evarist; Marcus, Michel B. The Central Limit Theorem for Stochastic Integrals with Respect to Levy Processes. Ann. Probab., Tome 11 (1983) no. 4, pp.  58-77. http://gdmltest.u-ga.fr/item/1176993660/