Invariance principles for local times in regenerative settings

Abstract

Consider a stochastic process $\mathfrak{X}$, regenerative at a state $x$ which is instantaneous and regular. Let $L$ be a regenerative local time for $\mathfrak{X}$ at $x$. Suppose furthermore that $\mathfrak{X}$ can be approximated by discrete time regenerative processes ${\mathfrak{X}}^n$ for which $x$ is accesible. We give conditions on $\mathfrak{X}$ and ${\mathfrak{X}}^n$ so that the naturally defined local time of ${\mathfrak{X}}^n$ converges weakly to $L$. This limit theorem generalizes previous invariance principles that have appeared in the literature.

30 pages

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