Limit laws for sums of independent random products: the lattice case

Abstract

Let $\{V_{i,j};(i,j)\in {\mathbb{N}}^2\}$ be a two-dimensional array of i.i.d.\ random variables. The limit laws of the sum of independent random products $$Z_n=\sum _{i=1}^{N_n}\prod _{j=1}^n{e}^{V_{i,j}}$$ as $n,N_n\to \infty$ have been investigated by a number of authors. Depending on the growth rate of $N_n$, the random variable $Z_n$ obeys a central limit theorem, or has limiting $\alpha$-stable distribution. The latter result is true for non-lattice $V_{i,j}$ only. Our aim is to study the lattice case. We prove that although the (suitably normalized) sequence $Z_n$ fails to converge in distribution, it is relatively compact in the weak topology, and describe its cluster set. This set is a topological circle consisting of semi-stable distributions.

arXiv comment12 pages

References in corpus (1)

• Functional limit theorems for sums of independent geometric Lévy processes

Cited by in corpus (1)

• Functional limit theorems for sums of independent geometric Lévy processes