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Self-similar processes as weak limits of a risk reserve process
Self-similar processes weak limits a risk reserve process
2009/9/22
Self-similar processes are closely connected with limit :
theorems for identical and in general strongly dependent variables.
Moreover, since they allow heavy-tailed distributions and provide an
ad...
WEAK LIMITS AND INTEGRALS OF GAUSSIAN COVARIANCES IN BANACH SPACES
Gaussian Radon measure covariance operator y-radonifying operator Fatou lemma type 2
2009/9/18
Let E be a separable real Banach space not containing
an isomorphic copy of c,. Let 2 be a subset of Yia(E*, E) with the
property that each Q E is ~the covariance of the centred Gaussian
measure pp...
Continuous Ocone Martingales as Weak Limits of Rescaled Martingales
ocone martingales rescaled martingales weak convergence
2009/4/29
Consider a martingale $M$ with bounded jumps and two sequences $a_n, b_n to infty$. We show that if the rescaled martingales
M^n_t =frac{1}{sqrt{a_n}}M_{b_n t}
converge weakly, then the limit is...