Weak convergence of mutually independent $X_n^B$ and $X_n^A$ under weak convergence of $ X_n\equiv X_n^B-X_n^A $

Tom 33 / 2006

W. Szczotka Applicationes Mathematicae 33 (2006), 41-49 MSC: 60F05, 60F15. DOI: 10.4064/am33-1-3

Streszczenie

For each $n\geq 1,$ let $\{ v_{n,k}, k\geq 1\} $ and $\{ u_{n,k}, k\geq 1\} $ be mutually independent sequences of nonnegative random variables and let each of them consist of mutually independent and identically distributed random variables with means $\overline {v}_n$ and $\overline {u}_n,$ respectively. Let $X_n^B(t)={(1/ c_n)}\sum _{j=1}^{[nt]}(v_{n,j} -\overline {v}_n),$ $X_n^A(t)={(1/ c_n)}\sum _{j=1}^{[nt]}(u_{n,j}-\overline {u}_n),\ t\geq 0,$ and $ X_n=X_n^B-X_n^A.$ The main result gives conditions under which the weak convergence $X_n\mathrel {\mathop {\rightarrow }\limits ^ { D}}X,$ where $X$ is a Lévy process, implies $X_n^B\mathrel {\mathop {\rightarrow }\limits ^{ D}}X^B$ and $X_n^A\mathrel {\mathop {\rightarrow }\limits ^{ D}}X^A,$ where $X^B$ and $ X^A$ are mutually independent Lévy processes and $X=X^B-X^A$.

Autorzy

  • W. SzczotkaInstitute of Mathematics
    University of Wroc/law
    Pl. Grunwaldzki 2/4
    50-384 Wroc/law, Poland
    e-mail

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