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Invariance principles for local times in regenerative settings

Authors :
Mijatović, Aleksandar
Bravo, Gerónimo Uribe
Publication Year :
2019

Abstract

Consider a stochastic process $\mathfrak{X}$, regenerative at a state $x$ which is instantaneous and regular. Let $L$ be a regenerative local time for $\mathfrak{X}$ at $x$. Suppose furthermore that $\mathfrak{X}$ can be approximated by discrete time regenerative processes $\mathfrak{X}^n$ for which $x$ is accesible. We give conditions on $\mathfrak{X}$ and $\mathfrak{X}^n$ so that the naturally defined local time of $\mathfrak{X}^n$ converges weakly to $L$. This limit theorem generalizes previous invariance principles that have appeared in the literature.<br />Comment: 30 pages

Subjects

Subjects :
Mathematics - Probability

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1910.09501
Document Type :
Working Paper