A note on weak convergence of random step processes

DOI10.1007/S10474-009-9099-5MaRDI QIDQ625974zbMATH OpenOpenAlexFDO

Authors Márton Ispány, Gyula Pap

Publication date 25 February 2011

Published in Acta Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0701803

zbMATH Keywords

diffusion processweak convergence of semimartingales

Mathematics Subject Classification ID

Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

Abstract: First, sufficient conditions are given for a triangular array of random vectors such that the sequence of related random step functions converges towards a (not necessarily time homogeneous) diffusion process. These conditions are weaker and easier to check than the existing ones in the literature, and they are derived from a very general semimartingale convergence theorem due to Jacod and Shiryaev, which is hard to use directly. Next, sufficient conditions are given for convergence of stochastic integrals of random step functions, where the integrands are functionals of the integrators. This result covers situations which can not be handled by existing ones.

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Cited in

(23)

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• Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2
• A random field approach to weak convergence of processes
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• Asymptotic behavior of unstable INAR(\(p\)) processes
• Statistical inference of 2-type critical Galton-Watson processes with immigration
• Convergence of processes of step sums on mixing processes
• Some asymptotic results for strongly critical branching processes with immigration in varying environment
• Asymptotic behaviour of critical decomposable 2-type Galton-Watson processes with immigration
• A note on asymptotic behavior of critical Galton-Watson processes with immigration
• Statistical inference for critical continuous state and continuous time branching processes with immigration
• Asymptotic behavior of CLS estimators for 2-type doubly symmetric critical Galton-Watson processes with immigration
• Diffusion approximation of controlled branching processes using limit theorems for random step processes
• Convergence for step-line processes under summation of random indicators and models of market pricing
• scientific article; zbMATH DE number 3842854 (Why is no real title available?)
• Weak convergence of random walks, conditioned to stay away from small sets
• scientific article; zbMATH DE number 1521365 (Why is no real title available?)
• An equation-free approach to coarse-graining the dynamics of networks
• Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration
• Asymptotic behavior of critical indecomposable multi-type branching processes with immigration
• Time evolution of dense multigraph limits under edge-conservative preferential attachment dynamics
• Asymptotic behavior of critical primitive multi-type branching processes with immigration
• The weak convergence of step processes to a homogeneous Poisson process with independent increments

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