Limit Theorems for Stochastic Exponentials of Matrix-Valued Lévy Processes

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

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

OriginalspracheEnglisch
Aufsatznummer61
Seitenumfang40
FachzeitschriftJournal of Theoretical Probability
Jahrgang38
Ausgabenummer3
PublikationsstatusVeröffentlicht - Sept. 2025
Peer-Review-StatusJa

Externe IDs

ORCID /0000-0002-9999-7589/work/194253707

Schlagworte

Schlagwörter

  • Central limit theorem, Law of large numbers, Lévy processes on groups, Multiplicative Lévy process, Multivariate Lévy process, Products of random matrices, Stochastic exponential