Limit laws for sums of independent random products: the lattice case

DOI10.1007/S10959-010-0296-5MaRDI QIDQ430980zbMATH OpenOpenAlexFDO

Authors Zakhar Kabluchko

Publication date 26 June 2012

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1003.1657

zbMATH Keywords

sums of random variablesrandom energy modelrandom exponentialsrelative compactness of distributionssemi-stable laws

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Abstract: Let $V_{i,j};(i,j)in{N}^2$ be a two-dimensional array of i.i.d. random variables. The limit laws of the sum of independent random products ${\displaystyle }$ Z_n=sum_{i=1}^{N_n} prod_{j=1}^{n} e^{V_{i,j}} ${\displaystyle }$ as $n,N_{n}oinfty$ have been investigated by a number of authors. Depending on the growth rate of $N_n$, the random variable $Z_n$ obeys a central limit theorem, or has limiting $alpha$-stable distribution. The latter result is true for non-lattice $V_{i,j}$ only. Our aim is to study the lattice case. We prove that although the (suitably normalized) sequence $Z_n$ fails to converge in distribution, it is relatively compact in the weak topology, and describe its cluster set. This set is a topological circle consisting of semi-stable distributions.

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Cited in

(4)

• Functional limit theorems for sums of independent geometric Lévy processes
• Limit laws for sums of products of exponentials of iid random variables
• Limit Theorems for Random Exponentials: The Bounded Support Case
• Statistical estimation of the structure of a finite population

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