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Limit Theorems for Randomly Stopped Stochastic Processes
Stockholm University, Faculty of Science, Department of Mathematics. (mathematical statistics)
2004 (English)Book (Other academic)
Abstract [en]

The book is devoted to studies of weak limit theorems for randomly stopped stochastic processes and functional limit theorems for compositions of stochastic processes. A survey of basic results related to weak convergence of random variables and stochastic processes, including basic facts concerning the convergence of càdlàg processes in topologies  J and U is given. General conditions of weak convergence for randomly stopped stochastic processes and compositions of càdlàg processes are presented. Functional limit theorems about convergence of compositions of càdlàg processes in topologies U and J are given. Applications to random sums, extremes with random sample size, generalised exceeding processes, sum-processes with renewal stopping, accumulation processes, max-processes with renewal stopping, and shock processes are presented. The book also contains an extended bibliography of works in the area.

Place, publisher, year, edition, pages
London: Springer , 2004. , XIV + 398 p.
Series
Probability and its Applications
National Category
Probability Theory and Statistics
Research subject
Mathematical Statistics
Identifiers
URN: urn:nbn:se:su:diva-45706ISBN: 1-85233-777-X (print)OAI: oai:DiVA.org:su-45706DiVA: diva2:369396
Available from: 2010-11-10 Created: 2010-11-10 Last updated: 2011-05-10Bibliographically approved

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