Convergence to stable laws in the space script D

François Roueff, Philippe Soulier

Research output: Contribution to journalArticlepeer-review

Abstract

We study the convergence of centered and normalized sums of independent and identically distributed random elements of the space script D of càdlàg functions endowed with Skorokhod's J1 topology, to stable distributions in script D. Our results are based on the concept of regular variation on metric spaces and on point process convergence. We provide some applications; in particular, to the empirical process of the renewal-reward process.

Original languageEnglish
Pages (from-to)1-17
Number of pages17
JournalJournal of Applied Probability
Volume52
Issue number1
DOIs
Publication statusPublished - 1 Mar 2015
Externally publishedYes

Keywords

  • Functional convergence
  • Regular variation
  • Stable process

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