Bibliographic Details
| Title: |
Limit theorems for a nonhomogeneous Ornstein-Uhlenbeck process. |
| Authors: |
Rusakov, O.1, Chuprunov, A.1 |
| Superior Title: |
Journal of Mathematical Sciences. Aug2007, Vol. 145 Issue 2, p4900-4913. 14p. |
| Subject Terms: |
*ORNSTEIN-Uhlenbeck process, *MARKOV processes, *MATHEMATICAL functions, *LIMIT theorems, *MATHEMATICAL statistics, *GAUSSIAN processes |
| Abstract: |
We describe a construction of a summation scheme with replacements of random variables. As the limit, we obtain a time nonhomogeneous generalization of the Ornstein-Uhlenbeck process. This generalization is described by a transform of Lamperti type in which an arbitrary continuous monotone function is used instead of the exponential one. Bibliography: 16 titles. [ABSTRACT FROM AUTHOR] |
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| Database: |
Academic Search Premier |