Kevei, Péter; Mason, David M. - In: Stochastic Processes and their Applications 123 (2013) 2, pp. 490-522
Let (Ut,Vt) be a bivariate Lévy process, where Vt is a subordinator and Ut is a Lévy process formed by randomly weighting each jump of Vt by an independent random variable Xt having cdf F. We investigate the asymptotic distribution of the self-normalized Lévy process Ut/Vt at 0 and at ∞. We...
