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Functional limit theorems for renewal shot noise processes with increasing response functions

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  • Iksanov, Alexander

Abstract

We consider renewal shot noise processes with response functions which are eventually nondecreasing and regularly varying at infinity. We prove weak convergence of renewal shot noise processes, properly normalized and centered, in the space D[0,∞) under the J1 or M1 topology. The limiting processes are either spectrally nonpositive stable Lévy processes, including the Brownian motion, or inverse stable subordinators (when the response function is slowly varying), or fractionally integrated stable processes or fractionally integrated inverse stable subordinators (when the index of regular variation is positive). The proof exploits fine properties of renewal processes, distributional properties of stable Lévy processes and the continuous mapping theorem.

Suggested Citation

  • Iksanov, Alexander, 2013. "Functional limit theorems for renewal shot noise processes with increasing response functions," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 1987-2010.
    • Handle: RePEc:eee:spapps:v:123:y:2013:i:6:p:1987-2010
    DOI: 10.1016/j.spa.2013.01.019
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    References listed on IDEAS

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    1. Avram, Florin & Taqqu, Murad S., 1989. "Probability bounds for M-Skorohod oscillations," Stochastic Processes and their Applications, Elsevier, vol. 33(1), pages 63-72, October.
    2. Iglehart, Donald L., 1973. "Weak convergence of compound stochastic process, I," Stochastic Processes and their Applications, Elsevier, vol. 1(1), pages 11-31, January.
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    Cited by:

    1. Pang, Guodong & Zhou, Yuhang, 2018. "Functional limit theorems for a new class of non-stationary shot noise processes," Stochastic Processes and their Applications, Elsevier, vol. 128(2), pages 505-544.
    2. Iksanov, Alexander & Kabluchko, Zakhar & Marynych, Alexander & Shevchenko, Georgiy, 2017. "Fractionally integrated inverse stable subordinators," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 80-106.
    3. Iksanov, Alexander & Kabluchko, Zakhar & Marynych, Alexander, 2016. "Weak convergence of renewal shot noise processes in the case of slowly varying normalization," Statistics & Probability Letters, Elsevier, vol. 114(C), pages 67-77.
    4. Alsmeyer, Gerold & Iksanov, Alexander & Marynych, Alexander, 2017. "Functional limit theorems for the number of occupied boxes in the Bernoulli sieve," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 995-1017.
    5. Yiqing Chen, 2019. "A Renewal Shot Noise Process with Subexponential Shot Marks," Risks, MDPI, vol. 7(2), pages 1-8, June.

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    More about this item

    Keywords

    Continuous mapping theorem; fractionally integrated (inverse) stable process; Functional limit theorem; M1 topology; Renewal shot noise process; Spectrally negative stable process;
    All these keywords.

    JEL classification:

    • M1 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration

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