Smoothing the paths and weak approximation of the occupation measure of Lévy processes
Authors: Ernesto Mordecki and Mario Wschebor.
Abstract: Consider a real-valued Lévy process with non-zero Brownian component and jumps with locally finite variation. We obtain an invariance principle theorem for the speed of approximation of its occupation measure by means of functionals defined on regularizations of the paths.
Download: dvi file (66 Kb), ps file (219 Kb), pdf file (216 Kb)