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ArticleOriginal scientific text

Title

Approximation of finite-dimensional distributions for integrals driven by α-stable Lévy motion

Authors 1

Affiliations

  1. Institute of Mathematics, Technical University of Wrocław, 50-370 Wrocław, Poland

Abstract

We present a method of numerical approximation for stochastic integrals involving α-stable Lévy motion as an integrator. Constructions of approximate sums are based on the Poissonian series representation of such random measures. The main result gives an estimate of the rate of convergence of finite-dimensional distributions of finite sums approximating such stochastic integrals. Stochastic integrals driven by such measures are of interest in constructions of models for various problems arising in science and engineering, often providing a better description of real life phenomena than their Gaussian counterparts.

Keywords

ENG
stochastic integrals, α-stable Lévy motion, convergence rates, stochastic processes with jumps, Poissonian series representation

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Applicationes Mathematicae
1998-1999/25/4
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Pages:
473-488
Main language of publication
English
Received
1998-06-08
Published
1999
Exact and natural sciences