Limit theorems for continuous-time random walks in the double-array limit scheme
Let \(\{X_{n,j}\},\) \(n,j=1,2,\dots,\) be a double array of rowwise i.i.d. real-valued random variables, and \(\{T_{n,j}\}\), \(n,j=1,2,\dots \), a double array of i.i.d. nonnegative random variables. For \(t\geq 0\) consider the sequence of continuous-time random walks defined by \(S_{n}( t) =\sum_{j=1}^{N_{n}( t) }X_{n,j}\), where \(N_{n}( t) \) is a renewal process defined by the relation \(\sum_{j=1}^{N_{n}( t) }T_{n,j}\leq t<\sum_{j=1}^{N_{n}( t) +1}T_{n,j}\), \(t\geq 0,\) for any \(n\geq 1\). Continuing work on continuous-time random walk, mainly done by them, the authors extend asymptotic results obtained in the classical case of degenerate \(X\)- and \(T\)-arrays, that is, where both \(X_{n,j}\) and \(T_{n,j}\) do not depend on \(n\). See, e.g., \textit{V. Kolokoltsov, V. Korolev} and \textit{V. Uchaikin} [J. Math. Sci., New York 105, No. 6, 2569--2576 (2001; Zbl 0994.60010)] for previous work. An important auxiliary result of the paper consists of two general theorems on the stability of the representation of a distribution function as a special mixture of stable laws.
- scientific article; zbMATH DE number 6154582
- Renewal theorems for random walks in multidimensional time
- Positivity of integrated random walks
- scientific article; zbMATH DE number 1103077
- scientific article; zbMATH DE number 1524189
- scientific article; zbMATH DE number 3870354
- A local limit theorem for random walks conditioned to stay positive
- The renewal theorem in the absence of power moments
- On hitting the high level by a random walk with delay at the origin
- On the asymptotics of the distribution of the exit time beyond a non-increasing boundary for a compound renewal process
- A general theorem on the limit behavior of superpositions of independent random processes with applications to Cox processes
- Asymptotic distributions of continuous-time random walks: A probabilistic approach
- Chance and Stability
- Fractional stable distributions
- Generalized Poisson Models and their Applications in Insurance and Finance
- scientific article; zbMATH DE number 3830974 (Why is no real title available?)
- scientific article; zbMATH DE number 3947305 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 195083 (Why is no real title available?)
- scientific article; zbMATH DE number 204994 (Why is no real title available?)
- scientific article; zbMATH DE number 893785 (Why is no real title available?)
- scientific article; zbMATH DE number 3300324 (Why is no real title available?)
- Modern Theory of Summation of Random Variables
- Natural estimates of convergence rate in the central limit theorem
- Random walks on lattices. II
- Stochastic solution of space-time fractional diffusion equations
- Williams-Watts dielectric relaxation: A fractal time stochastic process
- �ber notwendige und hinreichende Bedingungen f�r Konvergenzgeschwindigkeitsaussagen im Falle einer stabilen Grenzverteilung
This page was built for publication: Limit theorems for continuous-time random walks in the double-array limit scheme
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q876832)
