Peter Kevei: The limit distribution of ratios of jumps and sums of jumps of subordinators |
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Wednesday, 10. September 2014, 14:00 - 16:00
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| Abstract. Let $V_{t}$ be a driftless subordinator, and let denote $m_{t}^{(1)} \geq m_{t}^{(2)} \geq\ldots$ its jump sequence on interval $[0,t]$. Put $V_{t}^{(k)} = V_{t} - m_{t}^{(1)} - \ldots- m_{t}^{(k)}$ for the $k$-trimmed subordinator. In this lecture we characterize under what conditions the limiting distribution of the ratios $V_{t}^{(k)} / m_{t}^{(k+1)}$ and $m_{t}^{(k+1)} / m_{t}^{(k)}$ exist, as $t \downarrow 0$ or $t \to\infty$. The results are joint with David Mason. |
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Location : Bolyai Intézet, Farkas terem |
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