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JOURNALS // Zapiski Nauchnykh Seminarov POMI // Archive

Zap. Nauchn. Sem. POMI, 2015 Volume 442, Pages 122–132 (Mi znsl6248)

This article is cited in 7 papers

Tightness of the sums of independent identically distributed pseudo-poissonian processes in the Skorokhod space

O. V. Rusakov

St. Petersburg State University, St. Petersburg, Russia

Abstract: We consider pseudo-poissonian process of the following simple type: it is a poissonian subordinator for a sequence of i.i.d. random variables with a finite variance. Next we consider sums of i.i.d. copies of such pseudo-poissonian process. For a family of the distributions of these random sums we prove the tightness (relative compactness) in the Skorokhod space. Under conditions of the Central Limit Theorem for vectors we obtain a weak convergence in the functional Skorokhod space of the examined sums to the Ornstein–Uhlenbeck process.

Key words and phrases: poissonian subordinators for sequences, sums of i.i.d. pseudo-poissonian processes, tightness of a family of distributions in the Skorokhod space, convergence to the Ornstein–Uhlenbeck process in the functional Skorokhod space.

UDC: 519.2

Received: 07.12.2015


 English version:
Journal of Mathematical Sciences (New York), 2017, 225:5, 805–811

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