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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1998 Volume 43, Issue 4, Pages 786–792 (Mi tvp2080)

This article is cited in 21 papers

Short Communications

On convergence of distributions of compound Cox processes to stable laws

V. Yu. Korolev

M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: Necessary and sufficient conditions are presented for weak convergence of one-dimensional distributions of compound doubly stochastic Poisson processes in which jumps have finite variances, whereas no moment-type restrictions are imposed on the controlling process. Criteria of convergence of distributions of these processes to stable laws are presented.

Keywords: doubly stochastic Poisson process (Cox process), compound Cox process, heavy tails, strictly stable distribution.

Received: 13.11.1997

DOI: 10.4213/tvp2080


 English version:
Theory of Probability and its Applications, 1999, 43:4, 644–650

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