Randomly weighted self-normalized Lévy processes
AbstractLet (Ut,Vt) be a bivariate Lévy process, where Vt is a subordinator and Ut is a Lévy process formed by randomly weighting each jump of Vt by an independent random variable Xt having cdf F. We investigate the asymptotic distribution of the self-normalized Lévy process Ut/Vt at 0 and at ∞. We show that all subsequential limits of this ratio at 0 (∞) are continuous for any nondegenerate F with finite expectation if and only if Vt belongs to the centered Feller class at 0 (∞). We also characterize when Ut/Vt has a non-degenerate limit distribution at 0 and ∞.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 123 (2013)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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