Limit Theorems for Stochastic Exponentials of Matrix-Valued Lévy Processes
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
Abstract
We study the long-time behaviour of matrix-valued stochastic exponentials of Lévy processes, i.e. of multiplicative Lévy processes in the general linear group. In particular, we prove laws of large numbers as well as central limit theorems for the logarithmized norm, logarithmized entries and the logarithmized determinant of the stochastic exponential. Where possible, Berry–Esseen bounds are also stated.
Details
| Originalsprache | Englisch |
|---|---|
| Aufsatznummer | 61 |
| Seitenumfang | 40 |
| Fachzeitschrift | Journal of Theoretical Probability |
| Jahrgang | 38 |
| Ausgabenummer | 3 |
| Publikationsstatus | Veröffentlicht - Sept. 2025 |
| Peer-Review-Status | Ja |
Externe IDs
| ORCID | /0000-0002-9999-7589/work/194253707 |
|---|
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Central limit theorem, Law of large numbers, Lévy processes on groups, Multiplicative Lévy process, Multivariate Lévy process, Products of random matrices, Stochastic exponential