On the convergence of point processes

DOI10.1007/BF00960075MaRDI QIDQ1107210zbMATH OpenFDO

Publication date 1987

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00960075

convergence in law convergence of the compensators counting process with compensator point processes stopping times weak convergence

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Review text

Let \(N^n\) be a counting process with compensator \(A^n\), \(n\in \mathbb N\), and \(N\) a counting process with compensator \(A=A(N)\). It is well-known that (under certain continuity assumptions on \(A\)) the condition \[ \text{(a)}\quad P-\lim_n(A^n_t-A_t(N^n))=0\quad \text{ for all } t\text{ implies } \text{(b)}\quad N^n\to N\quad (\text{in law}) \] but (b) does not imply (a), even for \(A_ t=t\). It is shown here that (b) is equivalent to another condition on convergence of the compensators. This looks much more complicated and involves weak convergence in \(L^1\) of their values in certain stopping times.

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