2007/12/20 by Charles M. Goldie, Goldie, Charles M., Rudolf Grübel +1
Mathematics · Decision Sciences · Economics, Econometrics and Finance · #Stochastic processes and statistical mechanics #Probability and Risk Models #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.0712.3420
We obtain a strong law of large numbers and a functional central limit theorem, as t→∞, for the number of records up to time t and the Lebesgue measure (length) of the subset of the time interval [0,t] during which the Poisson process is in a record lifetime.