Convergence to stable laws in the space D François Roueff, Philippe Soulier
To cite this version:
François Roueff, Philippe Soulier. Convergence to stable laws in the space D. Journal of Applied Probability, Cambridge University press, 2015, 52 (1), pp.1-17. hal-00755255v3
HAL Id: hal-00755255 https://hal.archives-ouvertes.fr/hal-00755255v3 Submitted on 28 Mar 2015
HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. Convergence to stable laws in the space D
Fran¸cois Roueff∗ Philippe Soulier†
Abstract
We study the convergence of centered and normalized sums of i.i.d. random elements of the space D of c`adl`ag functions endowed with Skorohod’s J1 topology, to stable distri- butions in 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.
1 Introduction and main results
The main aim of this paper is to study the relation between regular variation in the space DI and convergence to stable processes in DI . Let us first describe the framework of regular vari- ation on metric spaces introduced by Hult and Lindskog (2005, 2006). Let I be a nonempty closed subinterval of R. We denote by DI the set of real valued c`adl`ag functions defined on I, endowed with the J1 topology. Let SI be the subset of DI of functions x such that