Limit theorems for point processes and their functionals
This paper extends work of various authors on the convergence of point processes and stochastic integrals of same, using a martingale approach. In the first place, the paper treats Itô point processes, in which a fairly general random countable set of points on \([0,\infty)\) each has a random mark in a suitable topological space. In the second place, joint convergence of the point processes and their (centred and scaled) stochastic integrals to a Poisson point process and a Gaussian martingale is established. The method used to establish their results is the same as that used by \textit{R. Rebolledo} [Bull. Soc. Math. Fr., Suppl., Mem. 62 (1979; Zbl 0425.60036)] and the reviewer [Math. Proc. Camb. Philos. soc. 90, 305-319 (1981; Zbl 0474.60036)]; namely, tightness is established and the limits of subsequences identified by martingale characterization results. Very interesting applications to the asymptotic joint behaviour of sums, maxima and minima of dependent random variables are considered.
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