Limit Theorems for Stochastic Exponentials of Matrix-Valued Lévy Processes

Research output: Contribution to journalResearch articleContributedpeer-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 languageEnglish
Article number61
JournalJournal of Theoretical Probability
Volume38
Issue number3
Publication statusPublished - Sept 2025
Peer-reviewedYes

External IDs

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

Keywords

Keywords

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