This article is cited in 4 papers

Limit behavior of Ito finite sums with avaraging

N. V. Lazakovich, O. L. Yablonskii

Belarusian State University

Abstract: In the paper the limiting behavior of finite sums with averaging containing Lévy processes is considered. For this purpose a new class of stochastic integrals for Lévy processes including, in particular, the Itô integral, Stratonovich integral, and others, is defined. By using these integrals complete classification of the limiting behavior of the considered sums is given.

Keywords: algebra of generalized stochastic processes, Lévy processes, stochastic integral.

Received: 16.12.2002
Revised: 10.05.2004

DOI: 10.4213/tvp126

 English version: Theory of Probability and its Applications, 2006, 50:4, 612–630

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