On a discrete approximation of a skew stable Lévy process

2023/02/14 by Congzao Dong, Dong, Congzao, Oleksandr Iksanov +3
Mathematics · Decision Sciences · Economics, Econometrics and Finance · #Stochastic processes and statistical mechanics #Probability and Risk Models #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2302.07298

Abstract

Iksanov and Pilipenko (2023) defined a skew stable Lévy process as a scaling limit of a sequence of perturbed at 0 symmetric stable Lévy processes (continuous-time processes). Here, we provide a simpler construction of the skew stable Lévy process as a scaling limit of a sequence of perturbed at 0 standard random walks (random sequences).

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