Functional limit theorem without centering for general shot-noise processes (Q2234398): Difference between revisions

Define the shot-noise process \((X(t))_{t\geq0}\) by \(X(t)=\sum_{k\geq0}h(t-S_k)1_{\{S_k\leq t\}}\), where \(h\) is a real-valued, right continuous, deterministic function with finite left-hand limits, and \(S_0,S_1\ldots\) is a sequence of non-negative random variables satisfying \(\sum_{k\geq0}1_{\{S_k\leq t\}}<\infty\) almost surely for all \(t\). The main result of the present paper is a functional limit theorem giving conditions under which an appropriately normalized shot-noise process (without centering) converges weakly in the Skorokhod space. This is illustrated by considering its application to some particular underlying sequences of random variables, including random walks and renewal processes.