Limit Theorems for Stochastic Exponentials of Matrix-Valued Lévy Processes
Research output: Contribution to journal › Research article › Contributed › peer-review
Contributors
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
| Original language | English |
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| Article number | 61 |
| Journal | Journal of Theoretical Probability |
| Volume | 38 |
| Issue number | 3 |
| Publication status | Published - Sept 2025 |
| Peer-reviewed | Yes |
External IDs
| ORCID | /0000-0002-9999-7589/work/194253707 |
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Keywords
ASJC Scopus subject areas
Keywords
- Central limit theorem, Law of large numbers, Lévy processes on groups, Multiplicative Lévy process, Multivariate Lévy process, Products of random matrices, Stochastic exponential