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

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

  • Yuri Kondratiev - , Bielefeld University (Author)
  • Yuliya Mishura - , Kyiv National Taras Shevchenko University (Author)
  • René L. Schilling - , Chair of Probability Theory (Author)

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

Original languageEnglish
Article number108997
JournalStatistics and Probability Letters
Volume170
Publication statusPublished - Mar 2021
Peer-reviewedYes

Keywords

Keywords

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