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Functional limit theorems for stochastic processes based on embedded processes

Published online by Cambridge University Press:  01 July 2016

Richard F. Serfozo
Richard F. Serfozo*
Affiliation:
Syracuse University
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Abstract

The techniques used by Doeblin and Chung to obtain ordinary limit laws (central limit laws, weak and strong laws of large numbers, and laws of the iterated logarithm) for Markov chains, are extended to obtain analogous functional limit laws for stochastic processes which have embedded processes satisfying these laws. More generally, it is shown how functional limit laws of a stochastic process are related to those of a process embedded in it. The results herein unify and extend many existing limit laws for Markov, semi-Markov, queueing, regenerative, semi-stationary, and subordinated processes.

Keywords

FUNCTIONAL LIMIT THEOREMSINVARIANCE PRINCIPLESCENTRAL LIMIT THEOREMSLAW OF ITERATED LOGARITHMOCCUPATION TIMESSUBORDINATED PROCESSESMARKOV PROCESSESSEMI-MARKOV PROCESSREGENERATIVE PROCESSSEMI-STATIONARY PROCESS

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Type
Research Article
Information
Advances in Applied Probability , Volume 7 , Issue 1 , March 1975 , pp. 123 - 139
Copyright
Copyright © Applied Probability Trust 1975 

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