On Convergence of Distributions of Compound Cox Processes to Stable Laws

DOI10.1137/S0040585X97977227MaRDI QIDQ4954393zbMATH OpenOpenAlexFDO

Authors V. Yu. Korolev

Publication date 6 June 2000

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97977227

zbMATH Keywords

compound Cox processdoubly stochastic Poisson process (Cox process)heavy tailsstrictly stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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(17)

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• Strong convergence rates for Cox-Ingersoll-Ross processes -- full parameter range
• Asymptotic behavior of generalized risk processes
• Generalized negative binomial distributions as mixed geometric laws and related limit theorems
• Convergence and inference for mixed Poisson random sums
• Scale mixtures of Fréchet distributions as asymptotic approximations of extreme precipitation
• On convergence of random walks generated by compound Cox processes to Lévy processes
• The limit distribution for the multivariate generalized Cox process
• Modeling high-frequency non-homogeneous order flows by compound Cox processes
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• On convergence of the accumulated insurance claim processes to the compound Poisson process
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• scientific article; zbMATH DE number 5161486 (Why is no real title available?)
• Convergence rate of the distribution of Poisson process on the interval to the ergodic one
• Estimates of the rate of convergence for distributions of generalized doubly stochastic Poisson processes with nonzero means to shift mixtures of Gaussian laws
• Precise large deviations for sums of random variables with consistently varying tails
• Bounds for convergence rate in laws of large numbers for mixed Poisson random sums

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