Smoothing the paths and weak approximation of the occupation measure of Lévy processes

Authors: Ernesto Mordecki and Mario Wschebor.

Posted: 10/09/2003 (Final version). Status: Submitted

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.

Keywords: Lévy processes, occupation measure, smoothing of paths

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[Articles by Ernesto Mordecki]