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20062026
most citedA functional non-central limit theorem for jump-diffusions with periodic coefficients driven by stable Levy-noise

13 citations · 22 across the 8 of their papers we have counts for

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Showing 2012Show all

2 papers · 1 filter

math.PR2012

Stable Limit Theorem for U-Statistic Processes Indexed by a Random Walk

Brice Franke, Francoise Pene, Martin Wendler

Let (S_n)_{n\in\N} be a Z-valued random walk with increments from the domain of attraction of some α-stable law and let (ξ(i))_{i\in\Z} be a sequence of iid random variables. We wa…

math.ST2012

Change Point Testing for the Drift Parameters of a Periodic Mean Reversion Process

Herold Dehling, Brice Franke, Thomas Kott +1

In this paper we investigate the problem of detecting a change in the drift parameters of a generalized Ornstein-Uhlenbeck process which is defined as the solution of $dX_t=(L(t)-α…