Limit theorems for trawl processes

DOI10.1214/21-EJP652MaRDI QIDQ2243917zbMATH OpenOpenAlexFDO

Authors Mikko S. Pakkanen, Riccardo Passeggeri, Orimar Sauri, Almut E. D. Veraart

Publication date 11 November 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.10698

zbMATH Keywords

functional limit theoremstable convergencemoving averagepartial sumtrawl process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Random measures (60G57)

Abstract: In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{iDelt{a}_n}{)}_{i=0}^{lfloorntfloor-1}$, under the assumption that as $nuparrowinfty$, $Delt{a}_{n}downarrow0$ and $nDelt{a}_{n}ightarrowmuin[0,+infty]$. Second, we derive a functional limit theorem for trawl processes as the L'{e}vy measure of the trawl seed grows to infinity and show that the limiting process has a Gaussian moving average representation.

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Cited in

(5)

• Discrete-time trawl processes
• Limit theorems for integrated trawl processes with symmetric Lévy bases
• Intermittency of trawl processes
• Periodic trawl processes: simulation, statistical inference and applications in energy markets
• Inference and forecasting for continuous-time integer-valued trawl processes

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