Limit theorems for mixed max-sum processes with renewal stopping

DOI10.1214/105051604000000215zbMath1076.60040arXivmath/0503543OpenAlexW3098870029MaRDI QIDQ1769414

Jozef L. Teugels, Dmitrii S. Silvestrov

Publication date: 21 March 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503543

zbMATH Keywords

weak convergencefunctional limit theoremMax-sumrenewal stoppingsum process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Renewal theory (60K05)

Related Items (15)

Asymptotic behavior of the generalized St. Petersburg sum conditioned on its maximum ⋮ Statistical inference for inter-arrival times of extreme events in bursty time series ⋮ The Joint Distribution of the Sum and the Maximum of IID Exponential Random Variables ⋮ The joint distribution of the sum and maximum of dependent Pareto risks ⋮ Fractional governing equations for coupled random walks ⋮ A new multivariate model involving geometric sums and maxima of exponentials ⋮ Lagging and leading coupled continuous time random walks, renewal times and their joint limits ⋮ Limit theorems for mixed max-sum processes with renewal stopping ⋮ On joint sum/max stability and sum/max domains of attraction ⋮ Functional laws for trimmed Lévy processes ⋮ Coupled continuous time random maxima ⋮ Distributional representations and dominance of a Lévy process over its maximal jump processes ⋮ Approximation of aggregate and extremal losses within the very heavy tails framework ⋮ Extremal limit theorems for observations separated by random power law waiting times ⋮ Extremes of random variables observed in renewal times

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