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A study in lightly trimmed Levy processes

Fan, Yuguang


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
Date published: 2015
Type: Thesis (PhD)
DOI: 10.25911/5d5fcbc0d5a16
Access Rights: Open Access


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