Proof of the Mesoscopic Limit Theorem
Let D n ⊂ N, r (u) be some cadlag process and J n (u) some (nice) occupation measure process with support in the cells. Assume that both r (u) and J n (u) are constant for u ∈ [(l — 1)δσ, δσ), l ∈ N.
KeywordsQuadratic Variation Jump Size Occupation Measure Stochastic Convolution Pure Jump Process
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