Functional CLTs for subordinated Lévy models in physics, finance, and econometrics
物理、金融与计量中从属Lévy模型的函数型中心极限定理
We present a simple unifying treatment of a broad class of applications from statistical mechanics, econometrics, mathematical finance, and insurance mathematics, where (possibly subordinated) Lévy noise arises as a scaling limit of some form of continuous-time random walk (CTRW). For each application, it is natural to rely on weak convergence results for stochastic integrals on Skorokhod space in Skorokhod's J1 or M1 topologies. As compared to earlier and entirely separate…