Asymptotic behaviour and functional limit theorems for a time changed Wiener process

Kondratiev Y, Mishura Y, Schilling RL (2021)
Statistics & Probability Letters 170: 108997.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Autor*in
Kondratiev, YuriUniBi; Mishura, Yuliya; Schilling, Rene L.
Abstract / Bemerkung
We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The time change reflects the fact that we consider the Laplace operator (which generates a Wiener process) multiplied by a possibly degenerate state-space dependent intensity lambda(x). Applying a functional limit theorem for the superposition of stochastic processes, we prove functional limit theorems for the normalized time changed Wiener process. The normalization depends on the asymptotic behaviour of the intensity function A. One of the possible limits is a skew Brownian motion. (C) 2020 Elsevier B.V. All rights reserved.
Stichworte
Time-changed Wiener process; Diffusion process; Functional limit; theorem; Skew Brownian motion
Erscheinungsjahr
2021
Zeitschriftentitel
Statistics & Probability Letters
Band
170
Art.-Nr.
108997
ISSN
0167-7152
eISSN
1879-2103
Page URI
https://pub.uni-bielefeld.de/record/2951294

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Kondratiev Y, Mishura Y, Schilling RL. Asymptotic behaviour and functional limit theorems for a time changed Wiener process. Statistics & Probability Letters. 2021;170: 108997.
Kondratiev, Y., Mishura, Y., & Schilling, R. L. (2021). Asymptotic behaviour and functional limit theorems for a time changed Wiener process. Statistics & Probability Letters, 170, 108997. https://doi.org/10.1016/j.spl.2020.108997
Kondratiev, Y., Mishura, Y., and Schilling, R. L. (2021). Asymptotic behaviour and functional limit theorems for a time changed Wiener process. Statistics & Probability Letters 170:108997.
Kondratiev, Y., Mishura, Y., & Schilling, R.L., 2021. Asymptotic behaviour and functional limit theorems for a time changed Wiener process. Statistics & Probability Letters, 170: 108997.
Y. Kondratiev, Y. Mishura, and R.L. Schilling, “Asymptotic behaviour and functional limit theorems for a time changed Wiener process”, Statistics & Probability Letters, vol. 170, 2021, : 108997.
Kondratiev, Y., Mishura, Y., Schilling, R.L.: Asymptotic behaviour and functional limit theorems for a time changed Wiener process. Statistics & Probability Letters. 170, : 108997 (2021).
Kondratiev, Yuri, Mishura, Yuliya, and Schilling, Rene L. “Asymptotic behaviour and functional limit theorems for a time changed Wiener process”. Statistics & Probability Letters 170 (2021): 108997.

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