A note on functional limit theorems for compound Cox processes

DOI10.1007/s10958-016-3020-xzbMath1387.60059arXiv1507.02534OpenAlexW2258232065MaRDI QIDQ341802

E. V. Kossova, A. V. Chertok, A. Yu. Korchagin, V. Yu. Korolev, Alexander I. Zejfman

Publication date: 17 November 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.02534

zbMATH Keywords

Lévy processesSkorokhod spaceCox processesdoubly stochastic Poisson processes

Mathematics Subject Classification ID

Related Items (1)

Some properties of the multivariate generalized hyperbolic laws

Cites Work

• Modeling high-frequency non-homogeneous order flows by compound Cox processes
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
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• On convergence of random walks generated by compound Cox processes to Lévy processes
• Asymptotic Properties of Extrema of Compound Cox Processes and Their Applications to Some Problems of Financial Mathematics
• A generalized birth–death stochastic model for high-frequency order book dynamics
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• О сходимости распределений случайных сумм независимых случайных величин к устойчивым законам
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