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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2009 Volume 368, Pages 201–228 (Mi znsl3514)

This article is cited in 6 papers

The theorems about stochastic integral distributions convergence to signed measures and the local limit theorems for large deviations

N. V. Smorodina, M. M. Faddeev

Saint-Petersburg State University, Saint-Petersburg, Russia

Abstract: We study properties of symmetric stable measures with index $\alpha>2$, $\alpha\neq2m$, $m\in\mathbb N$. Such measures are signed ones and hence they are not probability measures. For this class of measures we construct an analogue of the Lévy–Khinchin representation. We show that in some sense these signed measures are limit measures for sums of independent random variables. Bibl. – 11 titles.

Key words and phrases: Poisson random measures, Lévy–Khinchin representation, strictly stable random variable, limit theorems.

UDC: 519.21

Received: 10.10.2009


 English version:
Journal of Mathematical Sciences (New York), 2010, 167:4, 550–565

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