A note on weak convergence of random step processes

DOI10.1007/S10474-009-9099-5zbMATH Open1274.60109arXivmath/0701803OpenAlexW2060186757MaRDI QIDQ625974FDOQ625974

Authors: Márton Ispány, Gyula Pap 

Publication date: 25 February 2011

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

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.

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

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zbMATH Keywords

diffusion processweak convergence of semimartingales

Mathematics Subject Classification ID

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

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Cited In (23)

• 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
• Convergence for step line processes under summation of random indicators and models of market pricing
• 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
• Asymptotic behaviour of critical decomposable 2-type Galton-Watson processes with immigration
• Some asymptotic results for strongly critical branching processes with immigration in varying environment
• 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
• Diffusion approximation of controlled branching processes using limit theorems for random step processes
• Asymptotic behavior of CLS estimators for 2-type doubly symmetric critical Galton-Watson processes with immigration
• Convergence for step-line processes under summation of random indicators and models of market pricing
• Weak convergence of random walks, conditioned to stay away from small sets
• Title not available (Why is that?)
• Title not available (Why is that?)
• Statistical inference for 2-type doubly symmetric critical irreducible continuous state and continuous time branching processes with immigration
• An equation-free approach to coarse-graining the dynamics of networks
• 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
• Diffusion approximation of critical controlled multi-type branching processes

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