We study the asymptotic behaviour of stochastic processes that are generated by sums of partial sums of i.i.d. random variables and their renewals. We conclude that these processes cannot converge weakly to any nondegenerate random element of the space $D[0,1]$. On the other hand we show that their properly normalized integrals as Vervaat-type stochastic processes converge weakly to a squared Wiener process. Moreover, we also deal with the asymptotic behaviour of the deviations of these processes, the so-called Vervaat-error type processes.
We study the asymptotic behaviour of partial sums of long range dependent random variables and that of their counting process, together with an appropriately normalized integral process of the sum of these two processes, the so-called Vervaat process. The first two of these processes are approximated by an appropriately constructed fractional Brownian motion, while the Vervaat process in turn is approximated by the square of the same fractional Brownian motion.
We study the asymptotic behaviour of Bahadur-Kiefer processes that are generated by summing partial sums of (weakly or strongly dependent) random variables and their renewals. Known results for i.i.d. case will be extended to dependent cases.
In this work we prove an asymptotic result, that under some conditions on the involved distribution functions, is valid for any Oppenheim expansion, extending a classical result proven by W. Vervaat in 1972 for denominators of the Luroth case. Furthermore, we study the convergence in distribution of weighted sums of a sequence of independent random variables. Although the result is of its own interest, in the present setting it is used to prove convergence in distribution of specific sequences of random variables generalizing known results obtained for Luroth random variables.
Consider multiple sums $S_n$ on the $d$-dimensional integer grid,which are generated by i.i.d.\ random variables with a positive expectation. We prove the strong law of large numbers, the law of the iterated logarithm and the distributional limit theorem for random sets ${\mathcal M}_t$ that appear as inversion of the multiple sums, that is, as the set of all arguments $x\in{\mathbb R}_+^d$ such that the interpolated multiple sum $S_x$ exceeds $t$. The moment conditions are identical to those imposed in the almost sure limit theorems for multiple sums. The results are expressed in terms of set…
We propose results of the investigation of properties of the random sums of random variables. We consider the case, where the number of summands is the first moment of an event occurrence. An integral equation is presented that determines distributions of random sums. With the help of the obtained results we analyse the distribution function of the time during which the Geiger-Muller counter will not lose any particles, the distribution function of the busy period of a redundant system with renewal, and the distribution function of the sojourn times of a single-server queueing system.
For the renormalised sums of the random $\pm 1$-colouring of the connected components of $\mathbb Z$ generated by the coalescing renewal processes in the "power law Pólya's urn" of Hammond and Sheffield we prove functional convergence towards fractional Brownian motion, closing a gap in the tightness argument of their paper. In addition, in the regime of the strong renewal theorem we gain insights into the coalescing renewal processes in the Hammond-Sheffield urn (such as the asymptotic depth of most recent common ancestors) and are able to control the coalescence probabilities of two, three a…
For the random interval partition of $[0,1]$ generated by the uniform stick-breaking scheme known as GEM$(1)$, let $u_k$ be the probability that the first $k$ intervals created by the stick-breaking scheme are also the first $k$ intervals to be discovered in a process of uniform random sampling of points from $[0,1]$. Then $u_k$ is a renewal sequence. We prove that $u_k$ is a rational linear combination of the real numbers $1, ζ(2), \ldots, ζ(k)$ where $ζ$ is the Riemann zeta function, and show that $u_k$ has limit $1/3$ as $k \to \infty$. Related results provide probabilistic interpretations …
We study distributions $F$ on $[0,\infty)$ such that for some $T\le\infty$, $F^{*2}(x,x+T]\sim 2 F(x,x+T]$. The case $T=\infty$ corresponds to $F$ being subexponential, and our analysis shows that the properties for $T<\infty$ are, in fact, very similar to this classical case. A parallel theory is developed in the presence of densities. Applications are given to random walks, the key renewal theorem, compound Poisson process and Bellman-Harris branching processes.
We study i.i.d. sums $τ_k$ of nonnegative variables with index $0$: this means $\mathbf{P}(τ_1=n) = φ(n) n^{-1}$, with $φ(\cdot)$ slowly varying, so that $\mathbf{E}(τ_1^\varepsilon)=\infty$ for all $\varepsilon>0$. We prove a local limit and local (upward) large deviation theorem, giving the asymptotics of $\mathbf{P}(τ_k=n)$ when $n$ is at least the typical length of $τ_k$. A recent renewal theorem by Nagaev [21] is an immediate consequence: $\mathbf{P}(n\inτ) \sim \mathbf{P}(τ_1=n)/\mathbf{P}(τ_1 > n)^2$ as $n\to\infty$. If instead we only assume regular variation of $\mathbf{P}(n\inτ)$ and…
We study the convergence of centered and normalized sums of i.i.d. random elements of the space $\mathcal{D}$ of c{á}dl{á}g functions endowed with Skorohod's $J\_1$ topology, to stable distributions in $\mathcal D$. 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.
For a numerical sequence ${a_n}$ satisfying broad assumptions on its "behaviour on average" and a random walk $S_n=ξ_1 +...+ξ_n$ with i.i.d. jumps $ξ_j$ with positive mean $μ$, we establish the asymptotic behaviour of the sums [\sum_{n\ge 1} a_n \pr (S_n\in[x, x+\D)) \quad as \quad x\to \infty,] where $\D>0$ is fixed. The novelty of our results is not only in much broader conditions on the weights ${a_n}$, but also in that neither the jumps $ξ_j$ nor the weights $a_j$ need to be positive. The key tools in the proofs are integro-local limit theorems and large deviation bounds. For the jump dist…
We investigate subcritical Galton-Watson branching processes with immigration in a random environment. Using Goldie's implicit renewal theory we show that under general Cramér condition the stationary distribution has a power law tail. We determine the tail process of the stationary Markov chain, prove point process convergence, and convergence of the partial sums. The original motivation comes from Kesten, Kozlov and Spitzer seminal 1975 paper, which connects a random walk in a random environment model to a special Galton-Watson process with immigration in a random environment. We obtain new …
Let $(X_1, ξ_1), (X_2,ξ_2),\ldots$ be i.i.d.~copies of a pair $(X,ξ)$ where $X$ is a random process with paths in the Skorokhod space $D[0,\infty)$ and $ξ$ is a positive random variable. Define $S_k := ξ_1+\ldots+ξ_k$, $k \in \mathbb{N}_0$ and $Y(t) := \sum_{k\geq 0} X_{k+1}(t-S_k) 1_{\{S_k \leq t\}}$, $t\geq 0$. We call the process $(Y(t))_{t \geq 0}$ random process with immigration at the epochs of a renewal process. We investigate weak convergence of the finite-dimensional distributions of $(Y(ut))_{u>0}$ as $t\to\infty$. Under the assumptions that the covariance function of $X$ is regularl…
We address the question of condensation and extremes for three classes of intimately related stochastic processes: (a) random allocation models and zero-range processes, (b) tied-down renewal processes, (c) free renewal processes. While for the former class the number of components of the system is fixed, for the two other classes it is a fluctuating quantity. Studies of these topics are scattered in the literature and usually dressed up in other clothing. We give a stripped-down account of the subject in the language of sums of independent random variables in order to free ourselves of the co…
