A note on the prohorov distance between a counting process and a poisson process
Xia Aihua · Stochastics and stochastics reports · 1993
In 1991, Nikunen and Valkeila obtained an upper bound for the Prohorov distance between an arbitrary counting process and a Poisson process in terms of their compensators, where the compensator of the Poisson process was strictly increasing and continuous. The aim of this note is to generalize this result to the case where the compensator of the Poisson process is only continuous.