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Probability bounds for M-Skorohod oscillations

Author

Listed:
  • Avram, Florin
  • Taqqu, Murad S.

Abstract

Billingsley developed a widely used method for proving weak convergence with respect to the sup-norm and J1-Skorohod topologies, once convergence of the finite-dimensional distributions has been established. Here we show that Billingsley's method works not only for J oscillations, but also for M oscillations. This is done by identifying a common property of the J and M functions, called sub-triadditivity, and then showing that Billingsley's approach in the case of the J function can be adequately modified to apply to any sub-triadditive function.

Suggested Citation

  • Avram, Florin & Taqqu, Murad S., 1989. "Probability bounds for M-Skorohod oscillations," Stochastic Processes and their Applications, Elsevier, vol. 33(1), pages 63-72, October.
    • Handle: RePEc:eee:spapps:v:33:y:1989:i:1:p:63-72
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    Cited by:

    1. Peter C.B. Phillips & Mico Loretan, 1990. "Testing Covariance Stationarity Under Moment Condition Failure with an Application to Common Stock Returns," Cowles Foundation Discussion Papers 947, Cowles Foundation for Research in Economics, Yale University.
    2. Iksanov, Alexander, 2013. "Functional limit theorems for renewal shot noise processes with increasing response functions," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 1987-2010.
    3. Zachary Feinstein & Andreas Sojmark, 2021. "Contagious McKean-Vlasov systems with heterogeneous impact and exposure," Papers 2104.06776, arXiv.org, revised Sep 2022.

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