Convergence in variation of the joint laws of multiple stable stochastic integrals

• Autorzy: Breton J. -C
• Języki publikacji: EN

Abstrakty

EN

In this note, we are interested in the regularity in the sense of total variation of the joint laws of multiple stable stochastic integrals. Namely, we show that the convergence [formula] holds true as long as each kernel f_iⁿconverges when n→+∞to f_i in the Lorentz-type space [formula]. This result generalizes [4] from the one-dimensional case to the joint law case. It generalizes also [6] from the Wiener–Itô setting to the stable setting and [5] in the study of joint law of multiple stable integrals.

Słowa kluczowe

EN

convergence in variation; multiple stochastic integrals; stable process; LePage representation; method of superstructure

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2008
• Tom: Vol. 28, Fasc. 1
• Strony: 21--40
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Breton J. -C

• Laboratoire de Mathématiques et Applications, Université de La Rochelle, Avenue Michel Crépeau, 17042 La Rochelle cedex, France

Bibliografia

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