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Functional laws for trimmed Lévy processes

Buchmann, Boris; Ipsen, Yuguang; Maller, Ross


Two different ways of trimming the sample path of a stochastic process in 𝔻[0, 1]: global ('trim as you go') trimming and record time ('lookback') trimming are analysed to find conditions for the corresponding operators to be continuous with respect to the (strong) J 1-topology. A key condition is that there should be no ties among the largest ordered jumps of the limit process. As an application of the theory, via the continuous mapping theorem, we prove limit theorems for trimmed Lévy...[Show more]

CollectionsANU Research Publications
Date published: 2017
Type: Journal article
Source: Journal of Applied Probability
DOI: 10.1017/jpr.2017.39
Access Rights: Open Access


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