Small time convergence of subordinators with regularly or slowly varying canonical measure

Ross Maller and Tanja Schindler

Stochastic Processes and their Applications, 2019, vol. 129, issue 10, 4144-4162

Abstract: We consider subordinators Xα=(Xα(t))t≥0 in the domain of attraction at 0 of a stable subordinator (Sα(t))t≥0 (where α∈(0,1)); thus, with the property that Π¯α, the tail function of the canonical measure of Xα, is regularly varying of index −α∈(−1,0) as x↓0. We also analyse the boundary case, α=0, when Π¯α is slowly varying at 0. When α∈(0,1), we show that (tΠ¯α(Xα(t)))−1 converges in distribution, as t↓0, to the random variable (Sα(1))α. This latter random variable, as a function of α, converges in distribution as α↓0 to the inverse of an exponential random variable. We prove these convergences, also generalised to functional versions (convergence in D[0,1]), and to trimmed versions, whereby a fixed number of its largest jumps up to a specified time are subtracted from the process. The α=0 case produces convergence to an extremal process constructed from ordered jumps of a Cauchy subordinator. Our results generalise random walk and stable process results of Darling, Cressie, Kasahara, Kotani and Watanabe.

Keywords: Trimmed subordinator; Lévy process; Maximal jump process; Functional convergence; Regular variation; Extremal process; Cauchy process (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spa.2018.11.016

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