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

نویسندگان

چکیده

Abstract We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The change reflects fact that we consider Laplace operator (which generates process) multiplied by possibly degenerate state-space dependent intensity ? ( x ) . Applying functional limit theorem for superposition stochastic processes, prove theorems process. normalization depends on function One possible limits is skew Brownian motion.

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ژورنال

عنوان ژورنال: Statistics & Probability Letters

سال: 2021

ISSN: ['1879-2103', '0167-7152']

DOI: https://doi.org/10.1016/j.spl.2020.108997