论文标题
积极的自相似马尔可夫进程的兰普蒂表示的离散化
Discretization of the Lamperti representation of a positive self-similar Markov process
论文作者
论文摘要
本文考虑了严格积极的自相似于马尔可夫进程的兰维尔蒂表示中出现的莱维过程的离散化。在给定的Lévy过程的一些规律性假设下建立了产生近似的限制定理。此外，还提供了在小时间提供正相似的马尔可夫过程的缩放限制。最后，我们介绍了模拟自我相似的莱维过程的应用，以保持积极的态度。
This paper considers discretization of the Lévy process appearing in the Lamperti representation of a strictly positive self-similar Markov process. Limit theorems for the resulting approximation are established under some regularity assumptions on the given Lévy process. Additionally, the scaling limit of a positive self-similar Markov process at small times is provided. Finally, we present an application to simulation of self-similar Lévy processes conditioned to stay positive.
