Some functional limit theorems for compound Cox processes
Journal Article
·
· AIP Conference Proceedings
- Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow (Russian Federation)
- Higher School of Economics National Research University, Moscow (Russian Federation)
- Vologda State University, S.Orlova, 6, Vologda (Russian Federation)
An improved version of the functional limit theorem is proved establishing weak convergence of random walks generated by compound doubly stochastic Poisson processes (compound Cox processes) to Lévy processes in the Skorokhod space under more realistic moment conditions. As corollaries, theorems are proved on convergence of random walks with jumps having finite variances to Lévy processes with variance-mean mixed normal distributions, in particular, to stable Lévy processes.
- OSTI ID:
- 22608966
- Journal Information:
- AIP Conference Proceedings, Journal Name: AIP Conference Proceedings Journal Issue: 1 Vol. 1738; ISSN 0094-243X; ISSN APCPCS
- Country of Publication:
- United States
- Language:
- English
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