The limits of sequences of iterated overshoot distribution functions

Abstract

In this paper, we deal with sequences of iterated overshoot distribution functions. Under certain norming conditions and under the assumption that these sequences are convergent, the limits are completely characterized. The paper can be considered as a continuation of the work by Harkness and Shantaram [4]. As has been indicated by the referee, Shantaram and Harkness recently published a continuation of their work (see [5]). The present paper, however, is more general than [5]. The attention of the authors was directed to this problem while studying the behaviour of market demand transmitted through a chain of stock points.