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A characterization of small and large time limit laws for self-normalized Lévy processes

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Maller, Ross; Mason, David M

Description

We establish asymptotic distribution results for self-normalized Lévy processes at small and large times that are analogs of those of Chistyakov and Götze [Ann. Probab. 32:28-77, 2004] for self-normalized sums.

CollectionsANU Research Publications
Date published: 2013
Type: Book chapter
URI: http://hdl.handle.net/1885/73765
DOI: 10.1007/978-3-642-36068-8_8

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