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Power variation for Itô integrals with respect to α‐stable processes

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  • José Manuel Corcuera
  • Gergely Farkas

Abstract

In this article we consider the asymptotic behavior of the power variation of processes of the form , where Sα is an α‐stable process with index of stability 0

Suggested Citation

  • José Manuel Corcuera & Gergely Farkas, 2010. "Power variation for Itô integrals with respect to α‐stable processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(3), pages 276-289, August.
    • Handle: RePEc:bla:stanee:v:64:y:2010:i:3:p:276-289
    DOI: 10.1111/j.1467-9574.2010.00463.x
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