An embedding of compensated compound Poisson processes with applications to local times (Q2365750)

The author proves that the normalized number of crossings of a fixed level by a compensated compound Poisson process converges weakly to Brownian local time uniformly on all levels. The result can be applied to the corresponding problem for empirical processes. The author uses an embedding of the compensated compound Poisson process into Brownian motion. His construction yields the needed estimates on the local times.