Asymptotic properties of extremal Markov processes driven by Kendall convolution
Probability
2019-10-10 v2
Abstract
This paper is devoted to the analysis of the finite-dimensional distributions and asymptotic behavior of extremal Markov processes connected to the Kendall convolution. In particular, based on its stochastic representation, we provide general formula for finite dimensional distributions of the random walk driven by the Kendall convolution for a large class of step size distributions. Moreover, we prove limit theorems for random walks and connected continuous time stochastic process.
Cite
@article{arxiv.1901.05698,
title = {Asymptotic properties of extremal Markov processes driven by Kendall convolution},
author = {Marek Arendarczyk and Barbara Jasiulis-Gołdyn and Edward Omey},
journal= {arXiv preprint arXiv:1901.05698},
year = {2019}
}