Approximation of stable random measures and applications to linear fractional stable integrals

Clément Dombry, Paul Jung

Published 2013-02-16Version 1

Using lattice approximations of Euclidean space, we develop a way to approximate stable processes that are represented by stochastic integrals over Euclidean space. Via a stable version of the Lindeberg-Feller Theorem we show that the approximations weakly converge as the mesh-size goes to zero. As an application, we improve upon previous approximation schemes for integrals with respect to linear fractional stable motions.