A sequence of compound Poisson processes constructed from sums of identically distributed random variables that weakly converges to a Wiener process is considered. Certain functionals of these processes are shown to converge in distribution to the local time of a Wiener process.

Original languageEnglish
Pages (from-to)58-74
JournalTheory of Probability and its Applications
Volume66
Issue number1
DOIs
StatePublished - 2021

    Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

    Research areas

  • limit theorem, local time, random process

ID: 96490797