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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2021 Volume 66, Issue 1, Pages 73–93 (Mi tvp5410)

This article is cited in 3 papers

Approximation of a Wiener process local time by functionals of random walks

I. A. Ibragimovab, N. V. Smorodinaab, M. M. Faddeevab

a St. Petersburg Department of Steklov Mathematical Institute of Russian Academy of Sciences
b Saint Petersburg State University

Abstract: A sequence of compound Poisson processes constructed from sums of identically distributed random variables that weakly converges to a Wiener process is considered. Certain functionals of these processes are shown to converge in distribution to the local time of a Wiener process.

Keywords: random process, limit theorem, local time.

MSC: 60H05, 60G57

Received: 18.04.2020

DOI: 10.4213/tvp5410


 English version:
Theory of Probability and its Applications, 2021, 66:1, 58–74

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© Steklov Math. Inst. of RAS, 2024