Scalas, Enrico; Viles, Noèlia - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 385-410
Under proper scaling and distributional assumptions, we prove the convergence in the Skorokhod space endowed with the M1-topology of a sequence of stochastic integrals of a deterministic function driven by a time-changed symmetric α-stable Lévy process. The time change is given by the inverse...