Janicki, Aleksander Approximation of finite-dimensional distributions for integrals driven by \(\alpha\)-stable Lévy motion. (English) Zbl 0998.60057 Appl. Math. 25, No. 4, 473-488 (1999). Summary: We present a method of numerical approximation for stochastic integrals involving \(\alpha\)-stable Lévy motion as an integrator. Constructions of approximate sums are based on the Poissonian series representation of such random measures. The main result gives an estimate of the rate of convergence of finite-dimensional distributions of finite sums approximating such stochastic integrals. Stochastic integrals driven by such measures are of interest in constructions of models for various problems arising in science and engineering, often providing a better description of real life phenomena than their Gaussian counterparts. Cited in 1 Document MSC: 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 65C20 Probabilistic models, generic numerical methods in probability and statistics 62E20 Asymptotic distribution theory in statistics 60E07 Infinitely divisible distributions; stable distributions Keywords:\(\alpha\)-stable Lévy motion; Poissonian series representation; stochastic integrals; stochastic processes with jumps; convergence rates PDFBibTeX XMLCite \textit{A. Janicki}, Appl. Math. 25, No. 4, 473--488 (1999; Zbl 0998.60057) Full Text: DOI EuDML