Asymptotic behavior of local times of compound Poisson processes with drift in the infinite variance case
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Publication:2346972
weak convergencebranching processesinfinite variancelocal timescompound Poisson processesprocessor-sharing queueLévy processes
Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Queueing theory (aspects of probability theory) (60K25) Functional limit theorems; invariance principles (60F17) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stable stochastic processes (60G52) Local time and additive functionals (60J55)
Abstract: Consider compound Poisson processes with negative drift and no negative jumps, which converge to some spectrally positive L'evy process with non-zero L'evy measure. In this paper we study the asymptotic behavior of the local time process, in the spatial variable, of these processes killed at two different random times: either at the time of the first visit of the L'evy process to 0, in which case we prove results at the excursion level under suitable conditionings; or at the time when the local time at 0 exceeds some fixed level. We prove that finite-dimensional distributions converge under general assumptions, even if the limiting process is not c`adl`ag. Making an assumption on the distribution of the jumps of the compound Poisson processes, we strengthen this to get weak convergence. Our assumption allows for the limiting process to be a stable L'evy process with drift. These results have implications on branching processes and in queueing theory, namely, on the scaling limit of binary, homogeneous Crump-Mode-Jagers processes and on the scaling limit of the Processor-Sharing queue length process.
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Cited in
(11)- Stochastic Volterra equations for the local times of spectrally positive stable processes
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