Stable sub-Gaussian models constructed by Poisson processes |
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| Authors: | Dai Hongshuai Li Yuqiang |
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| Institution: | aDepartment of Mathematics, Central South University, Changsha 410075, China;bSchool of Finance and Statistics, East China Normal University, Shanghai 200241, China |
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| Abstract: | In this paper, we first prove that one-parameter standard α-stable sub-Gaussian processes can be approximated by processes constructed by integrals based on the Poisson process with random intensity. Then we extend this result to the two-parameter processes. At last, we consider the approximation of the subordinated fractional Brownian motion. |
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| Keywords: | stable sub-Gaussian process weak convergence Poisson process Riemann integral |
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