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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1973 Volume 18, Issue 3, Pages 457–467 (Mi tvp2715)

This article is cited in 3 papers

The limit theorems for some functionals of processes with independent increments

Yu. A. Davydov

Leningrad

Abstract: This paper deals with asymptotical behaviour of the distribution of the functional $\frac1{D_T}\int_0^Th(S_t)\,dt$, where $S_t$ is a stochastic process with independent and stationary increments, $h(x)$ is a bounded function such that
$$ \frac1{T^\beta}\int_0^Th(x)\,dx\to p,\quad\frac1{T^\beta}\int_{-T}^0h(x)\,dx\ge q,\quad T\to\infty,\quad0\le\beta\le1 $$
and $D_T$ is a normalizing factor.

Received: 20.07.1972


 English version:
Theory of Probability and its Applications, 1974, 18:3, 431–441

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