We present a Brownian embedding for a broad class of compensated compound Poisson processes. Applications of this method are discussed for a problem of level crossings, as well as Donsker's invariance type of principles. In particular, we give a central limit theorem for local times.
Publié le : 1993-01-14
Classification:
Compensated compound Poisson processes,
Brownian motion,
invariance principles,
local times,
60J55,
60F15,
60J75,
60F10,
60F17
@article{1176989408,
author = {Khoshnevisan, Davar},
title = {An Embedding of Compensated Compound Poisson Processes with Applications to Local Times},
journal = {Ann. Probab.},
volume = {21},
number = {4},
year = {1993},
pages = { 340-361},
language = {en},
url = {http://dml.mathdoc.fr/item/1176989408}
}
Khoshnevisan, Davar. An Embedding of Compensated Compound Poisson Processes with Applications to Local Times. Ann. Probab., Tome 21 (1993) no. 4, pp. 340-361. http://gdmltest.u-ga.fr/item/1176989408/