Limit theorems for randomly stopped stochastic processes.
\(J\)-topology\(U\)-topologycadlag stochastic processesfunctional limit theoremsrandom sumsweak convergence
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Processes with independent increments; Lévy processes (60G51) Extreme value theory; extremal stochastic processes (60G70) Renewal theory (60K05) Markov renewal processes, semi-Markov processes (60K15)
The aim of this book is to present general limit theorems about weak convergence of randomly stopped stochastic processes and compositions of stochastic processes. This book contains four chapters. Chapter 1 is a survey of basic results related to weak convergence of random variables and stochastic processes, including basic facts concerning the convergence of càdlàg processes in topologies \(J\) and \(U\). In Chapter 2 general conditions of weak convergence of randomly stopped stochastic processes are presented. In Chapter 3, functional limit theorems about convergence of compositions of càdlàg processes in topologies \(J\) and \(U\) are given. Chapter 4 presents a summary of applications to random sums, extremes with random sample size, generalized exceeding processes, sum-processes with renewal stopping, accumulation processes, max-processes with renewal stopping, and shock processes. Each chapter has a preamble in which the main results are outlined and the chapter content (by sections) is presented. The first section of each chapter contains introductory remarks. Here models, basic conditions and results are introduced in an informal way. In addition, examples and counterexamples, illustrated by figures if possible, are given along with comments. Each section is broken up into titled subsections. Subsections containing formulations and proofs of main theorems are given first. These are followed by subsections that present various modifications to the main theorems and their conditions. The reference remarks, at the end of each chapter, highlight the origins of main results as well as indicating new results. The bibliography, which contains more than 800 references, is also preceded by brief remarks.
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