Poissonian Subordinators, the Wiener-Ornstein-Uhlenbeck Field, and a Relation Between the Ornstein-Uhlenbeck Processes and Brownian Bridges

Результат исследований: Научные публикации в периодических изданияхстатья

3 Цитирования (Scopus)

Выдержка

We apply to a sequence of i.i.d. random variables a time change operator via a Poisson process that is independent of this sequence. We consider sums of independent copies of processes constructed in this way and having continuous time. Finite limit distributions of these sums coincide with the finite limit distributions of the Wiener–Ornstein– Uhlenbeck field that is the tensor product of a Brownian motion and the Ornstein–Uhlenbeck process. The transition characteristics of the limit Ornstein–Uhlenbeck process are described by Brownian bridges that are builded into the Wiener–Ornstein–Uhlenbeck field. Bibliography: 4 titles.
Язык оригиналаанглийский
Страницы (с-по)232-238
ЖурналJournal of Mathematical Sciences
Том176
Номер выпуска2
СостояниеОпубликовано - 2011

Отпечаток

Subordinator
Brownian Bridge
Ornstein-Uhlenbeck Process
Brownian movement
Bibliographies
Random variables
Tensors
Mathematical operators
Limit Distribution
Time Change
I.i.d. Random Variables
Poisson process
Tensor Product
Brownian motion
Continuous Time
Operator

Цитировать

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Poissonian Subordinators, the Wiener-Ornstein-Uhlenbeck Field, and a Relation Between the Ornstein-Uhlenbeck Processes and Brownian Bridges. / Rusakov, O.V.

В: Journal of Mathematical Sciences, Том 176, № 2, 2011, стр. 232-238.

Результат исследований: Научные публикации в периодических изданияхстатья

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AU - Rusakov, O.V.

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AB - We apply to a sequence of i.i.d. random variables a time change operator via a Poisson process that is independent of this sequence. We consider sums of independent copies of processes constructed in this way and having continuous time. Finite limit distributions of these sums coincide with the finite limit distributions of the Wiener–Ornstein– Uhlenbeck field that is the tensor product of a Brownian motion and the Ornstein–Uhlenbeck process. The transition characteristics of the limit Ornstein–Uhlenbeck process are described by Brownian bridges that are builded into the Wiener–Ornstein–Uhlenbeck field. Bibliography: 4 titles.

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KW - Ornstein-Uhlenbeck type processes

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JO - Journal of Mathematical Sciences

JF - Journal of Mathematical Sciences

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