Tightness and Convergence of Trimmed Lévy Processes to Normality at Small Times (1410.5036v3)

Abstract: Let $^{(r,s)}X_t$ be the L\'evy process $X_t$ with the $r$ largest positive jumps and $s$ smallest negative jumps up till time $t$ deleted and let $^{(r)}\widetilde X_t$ be $X_t$ with the $r$ largest jumps in modulus up till time $t$ deleted. Let $a_t \in \mathbb{R}$ and $b_t>0$ be non-stochastic functions in $t$. We show that the tightness of $({}^{(r,s)}X_t - a_t)/b_t$ or $({}^{(r)}\widetilde X_t - a_t)/b_t$ at $0$ implies the tightness of all normed ordered jumps, hence the tightness of the untrimmed process $(X_t -a_t)/b_t$ at $0$. We use this to deduce that the trimmed process $({}^{(r,s)}X_t - a_t)/b_t$ or $({}^{(r)}\widetilde X_t - a_t)/b_t$ converges to $N(0,1)$ or to a degenerate distribution if and only if $(X_t-a_t)/b_t $ converges to $N(0,1)$ or to the same degenerate distribution, as $t \downarrow 0$.