Convergence of nonhomogeneous random walks generated by compound Cox processes to generalized variance-gamma L,vy processes

摘要

Functional limit theorems on the convergence of nonhomogeneous random walks generated by compound Cox processes to L,vy processes with generalized one-dimensional variance-gamma distributions, in particular, to subordinate Wiener processes with subordinator being a L,vy-Weibull process, are proved.