Limit Theorems for Trawl Processes

Mikko S. Pakkanen, Riccardo Passeggeri, Orimar Sauri, Almut E. D. Veraart

Published 2020-09-22Version 1

In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{i\Delta_{n}})_{i=0}^{\lfloor nt\rfloor-1}$, under the assumption that as $n\uparrow\infty$, $\Delta_{n}\downarrow0$ and $n\Delta_{n}\rightarrow\mu\in[0,+\infty]$. Second, we derive a functional limit theorem for trawl processes as the L\'{e}vy measure of the trawl seed grows to infinity and show that the limiting process has a Gaussian moving average representation.