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A study in lightly trimmed Levy processes

Fan, Yuguang

Description

In this dissertation, we study Levy processes with a bounded number of largest jumps removed. The resulting processes are termed lightly trimmed Levy processes. Motivated by the classical precedents in the random walks literature on trimmed sums, we aim to solve completely the domain of attraction problem for trimmed Levy processes at small times. We show that a Levy process is in the domain of attraction at small times, that is there exist appropriate norming and centring functions such that...[Show more]

CollectionsOpen Access Theses
Type: Thesis (PhD)
URI: http://hdl.handle.net/1885/149793
DOI: 10.25911/5d5fcbc0d5a16

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