Title of article :
Weak convergence of subordinators to extremal processes
Author/Authors :
Kella، نويسنده , , Offer and Lِpker، نويسنده , , Andreas، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2013
Abstract :
For certain subordinators ( X t ) t ≥ 0 it is shown that the process ( − t log X t s ) s > 0 tends to an extremal process ( η ̂ s ) s > 0 in the sense of convergence of the finite dimensional distributions. Additionally it is also shown that ( z ∧ ( − t log X t s ) ) s ≥ 0 converges weakly to ( z ∧ η ̂ s ) s ≥ 0 in D [ 0 , ∞ ) , the space of càdlàg functions equipped with Skorohod’s J 1 metric.
Keywords :
Lévy process , Extremal process , Small-time convergence , Subordinator
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications