Yi Guo

A fixed-time stable limit theorem for non-normalized functionals on irregular time grids

Let an It\^o semimartingale be observed at times satisfying $\tau_{i+1}^n-\tau_i^n=(n\theta_{\tau_i^n})^{-1}$, where $\theta$ is adapted and c\`adl\`ag, and $\theta$ and its reciprocal are bounded on compact intervals. Under the usual hypothesis (H) on the semimartingale, we prove fixed-time stable convergence for test...