Asymptotics of random processes with immigration. I: Scaling limits.

DOI10.3150/15-BEJ776zbMATH Open1386.60122arXiv1405.0671OpenAlexW2964206931MaRDI QIDQ520698FDOQ520698

Alexander Iksanov, Matthias Meiners, Alexander Marynych

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Let $(X_1,x{i}_1),(X_2,x{i}_2),ldots$ be i.i.d.~copies of a pair $(X,xi)$ where $X$ is a random process with paths in the Skorokhod space $D[0,infty)$ and $xi$ is a positive random variable. Define $S_k:=x{i}_1+ldots+x{i}_k$, $kinmathbb{N}_0$ and $Y(t):=su{m}_{kgeq0}{X}_{k+1}(t-S_k)1_{S_{k}leqt}$, $tgeq0$. We call the process $(Y(t){)}_{tgeq0}$ random process with immigration at the epochs of a renewal process. We investigate weak convergence of the finite-dimensional distributions of $(Y(ut){)}_{u>0}$ as $toinfty$. Under the assumptions that the covariance function of $X$ is regularly varying in $(0,infty)imes(0,infty)$ in a uniform way, the class of limiting processes is rather rich and includes Gaussian processes with explicitly given covariance functions, fractionally integrated stable L'evy motions and their sums when the law of $xi$ belongs to the domain of attraction of a stable law with finite mean, and conditionally Gaussian processes with explicitly given (conditional) covariance functions, fractionally integrated inverse stable subordinators and their sums when the law of $xi$ belongs to the domain of attraction of a stable law with infinite mean.

Full work available at URL: https://arxiv.org/abs/1405.0671

zbMATH Keywords

renewal theoryrandom process with immigrationshot noise processesweak convergence of finite-dimensional distributions

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Functional limit theorems; invariance principles (60F17) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Sample path properties (60G17) Renewal theory (60K05)

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