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

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

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 λ(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 λ. One of the possible limits is a skew Brownian motion.

Details

OriginalspracheEnglisch
Aufsatznummer108997
FachzeitschriftStatistics and Probability Letters
Jahrgang170
PublikationsstatusVeröffentlicht - März 2021
Peer-Review-StatusJa

Schlagworte

Schlagwörter

  • Diffusion process, Functional limit theorem, Skew Brownian motion, Time-changed Wiener process