On convergence of random walks generated by compound Cox processes to Lévy processes

DOI10.1016/j.spl.2013.06.037zbMath1288.60060OpenAlexW1972765213MaRDI QIDQ2435774

V. Yu. Korolev, L. M. Zaks, Alexander I. Zejfman

Publication date: 19 February 2014

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2013.06.037

zbMATH Keywords

\(\alpha\)-stable Lévy processLévy processSkorokhod spacestable distributiontransfer theoremcompound doubly stochastic Poisson process (compound Cox process)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Related Items (4)

Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes ⋮ A note on functional limit theorems for compound Cox processes ⋮ Convergence of nonhomogeneous random walks generated by compound Cox processes to generalized variance-gamma Lévy processes ⋮ Kelly Criterion: From a Simple Random Walk to Lévy Processes

Cites Work

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• Upper and lower bounds on the rate of convergence for nonhomogeneous birth and death processes
• The decay function of nonhomogeneous birth-death processes, with application to mean-field models
• Asymptotic Properties of Extrema of Compound Cox Processes and Their Applications to Some Problems of Financial Mathematics
• On Convergence of Distributions of Compound Cox Processes to Stable Laws
• О сходимости распределений случайных сумм независимых случайных величин к устойчивым законам

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