An Embedding of Compensated Compound Poisson Processes with Applications to Local Times

Davar Khoshnevisan

doi:10.1214/aop/1176989408

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January, 1993 An Embedding of Compensated Compound Poisson Processes with Applications to Local Times

Davar Khoshnevisan

Ann. Probab. 21(1): 340-361 (January, 1993). DOI: 10.1214/aop/1176989408

Abstract

We present a Brownian embedding for a broad class of compensated compound Poisson processes. Applications of this method are discussed for a problem of level crossings, as well as Donsker's invariance type of principles. In particular, we give a central limit theorem for local times.

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Davar Khoshnevisan. "An Embedding of Compensated Compound Poisson Processes with Applications to Local Times." Ann. Probab. 21 (1) 340 - 361, January, 1993. https://doi.org/10.1214/aop/1176989408