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arxiv: 1407.3142 · v1 · pith:TN7Y625Unew · submitted 2014-07-11 · 🧮 math.PR

The limit distribution of ratios of jumps and sums of jumps of subordinators

classification 🧮 math.PR
keywords distributionjumpsratiossubordinatorcharacterizeconditionsdenotedownarrow0
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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 note 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 $t \downarrow0$ or $t \to\infty$.

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