A density property for stochastic processes
Probability
2020-12-03 v2
Abstract
Consider a class of probability distributions which is dense in the space of all probability distributions on with respect to weak convergence, for every . Then, we construct various explicit classes of continuous (c\'{a}dl\'{a}g) processes which are dense in the space of all continuous (c\'{a}dl\'{a}g) processes with respect to convergence in distribution. This is motivated by the recent result that quasi-infinitely divisible (QID) distributions are dense when . If this result is extended to any , then our result will imply that QID processes are dense in both spaces of continuous and c\'{a}dl\'{a}g processes.
Cite
@article{arxiv.2010.07752,
title = {A density property for stochastic processes},
author = {Riccardo Passeggeri},
journal= {arXiv preprint arXiv:2010.07752},
year = {2020}
}
Comments
16 pages