Limit theorems of continuous-time random walks with tails

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• 作者：Yuqiang Li (1275)
  
• 关键词：Weak convergence ; J 1 ; topology ; M 1 ; topology ; stable Lévy process ; 60F05 ; 60G50
• 刊名：Frontiers of Mathematics in China
• 出版年：2013
• 出版时间：April 2013
• 年：2013
• 卷：8
• 期：2
• 页码：371-391
• 全文大小：209KB
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• 作者单位：Yuqiang Li (1275)
  
  1275. School of Finance and Statistics, East China Normal University, Shanghai, 200241, China
  
• ISSN：1673-3576

文摘

We study the functional limits of continuous-time random walks (CTRWs) with tails under certain conditions. We find that the scaled CTRWs with tails converge weakly to an α-stable Lévy process in D([0, 1]) with M 1-topology but the corresponding scaled CTRWs converge weakly to the same limit in D([0, 1]) with J 1-topology.