A fixed-time stable limit theorem for non-normalized functionals on irregular time grids

Yi Guo

Let an Itô semimartingale be observed at times satisfying ${\tau }_{i+1}^n-{\tau }_i^n=(n{\theta }_{{\tau }_i^n}{)}^{-1}$, where $\theta$ is adapted and càdlàg, and $\theta$ and its reciprocal are bounded on compact in…