A functional limit theorem for random processes with immigration in the case of heavy tails

Abstract: Let

(X_{k}, x i_{k})_{k i n m a t h b b N}

be a sequence of independent copies of a pair

(X, x i)

where

X

is a random process with paths in the Skorokhod space

D [0, i n f t y)

and

x i

is a positive random variable. The random process with immigration

(Y (u))_{u i n m a t h b b R}

is defined as the a.s. finite sum

Y (u) = s u m_{k g e q 0} X_{k + 1} (u - x i_{1} - c d o t s - x i_{k}) 1 m k e r n - 4.5 m u m a t h r m l_{x i_{1} + c d o t s + x i_{k} l e q u}

. We obtain a functional limit theorem for the process

(Y (u t))_{u g e q 0}

, as

t o i n f t y

, when the law of

x i

belongs to the domain of attraction of an

a l p h a

-stable law with

a l p h a i n (0, 1)

, and the process

X

oscillates moderately around its mean

m a t h b b E [X (t)]

. In this situation the process

(Y (u t))_{u g e q 0}

, when scaled appropriately, converges weakly in the Skorokhod space

D (0, i n f t y)

to a fractionally integrated inverse stable subordinator.

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