A note on functional limit theorems for compound Cox processes

DOI10.1007/S10958-016-3020-XMaRDI QIDQ341802zbMATH OpenOpenAlexFDO

Authors A. V. Chertok, A. Yu. Korchagin, E. V. Kossova, V. Yu. Korolev, Alexander I. Zejfman

Publication date 17 November 2016

Published in Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1507.02534

zbMATH Keywords

Skorokhod spaceCox processesdoubly stochastic Poisson processesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Functional limit theorems; invariance principles (60F17)

Abstract: 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 L{'e}vy 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 L{'e}vy processes with variance-mean mixed normal distributions, in particular, to stable L{'e}vy processes, generalized hyperbolic and generalized variance-gamma L{'e}vy processes.

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Cited in

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• On Convergence of Distributions of Compound Cox Processes to Stable Laws
• On the convergence of quadratic variation for compound fractional Poisson processes
• On approximations to generalized Cox processes
• Some properties of the multivariate generalized hyperbolic laws
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• Functional large deviations for Cox processes and \(Cox / G / \infty\) queues, with a biological application
• A general theorem on the limit behavior of superpositions of independent random processes with applications to Cox processes

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