Functional limit theorems for renewal shot noise processes with increasing response functions
Abstract
We consider renewal shot noise processes with response functions which are eventually nondecreasing and regularly varying at infinity. We prove weak convergence of renewal shot noise processes, properly normalized and centered, in the space under the or topology. The limiting processes are either spectrally nonpositive stable L\'{e}vy processes, including the Brownian motion, or inverse stable subordinators (when the response function is slowly varying), or fractionally integrated stable processes or fractionally integrated inverse stable subordinators (when the index of regular variation is positive). The proof exploits fine properties of renewal processes, distributional properties of stable L\'{e}vy processes and the continuous mapping theorem.
Cite
@article{arxiv.1202.1950,
title = {Functional limit theorems for renewal shot noise processes with increasing response functions},
author = {Alexander Iksanov},
journal= {arXiv preprint arXiv:1202.1950},
year = {2013}
}
Comments
Stoch. Proc. Appl., accepted for publication