A note on functional limit theorems for compound Cox processes

DOI10.1007/S10958-016-3020-XzbMATH Open1387.60059arXiv1507.02534OpenAlexW2258232065MaRDI QIDQ341802FDOQ341802

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

Publication date: 17 November 2016

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

Abstract: An improved version of the functional limit theorem is proved establishing weak convergence of random walks generated by compound doubly stochastic Poisson processes (compound Cox processes) to L{'e}vy processes in the Skorokhod space under more realistic moment conditions. As corollaries, theorems are proved on convergence of random walks with jumps having finite variances to L{'e}vy processes with variance-mean mixed normal distributions, in particular, to stable L{'e}vy processes, generalized hyperbolic and generalized variance-gamma L{'e}vy processes.

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

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Skorokhod spaceCox processesdoubly stochastic Poisson processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Functional limit theorems; invariance principles (60F17)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Generalized Poisson Models and their Applications in Insurance and Finance
• Title not available (Why is that?)
• A Generalization of the Gamma Distribution
• Normal Variance-Mean Mixtures and z Distributions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Doubly stochastic Poisson processes
• Modeling high-frequency non-homogeneous order flows by compound Cox 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
• Title not available (Why is that?)
• Title not available (Why is that?)
• Models for non-Gaussian variation, with applications to turbulence
• Title not available (Why is that?)
• Title not available (Why is that?)
• О сходимости распределений случайных сумм независимых случайных величин к устойчивым законам
• Generalized Hyperbolic Laws as Limit Distributions for Random Sums
• Title not available (Why is that?)
• The decay function of nonhomogeneous birth-death processes, with application to mean-field models
• On convergence of random walks generated by compound Cox processes to Lévy processes
• Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
• Title not available (Why is that?)

Cited In (10)

• On Convergence of Distributions of Compound Cox Processes to Stable Laws
• On approximations to generalized Cox processes
• Some properties of the multivariate generalized hyperbolic laws
• Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model
• Time sensitive functionals of marked Cox processes
• Title not available (Why is that?)
• Density estimation for compound Cox processes on hyperspheres
• Functional large deviations for Cox processes and \(Cox / G / \infty\) queues, with a biological application
• A general theorem on the limit behavior of superpositions of independent random processes with applications to Cox processes
• Max-compound Cox processes. I

This page was built for publication: A note on functional limit theorems for compound Cox processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q341802)