A Central Limit Theorem for a sequence of Brownian motions in the unit sphere in Rn

We use a Stochastic Differential Equation satisfied by Brownian motion taking values in the unit sphere Sn−1⊂Rn and we obtain a Central Limit Theorem for a sequence of such Brownian motions. We also generalize the results to the case of the n-dimensional Ornstein–Uhlenbeck processes.

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Year of publication:	2012
Authors:	Vakeroudis, S. ; Yor, M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 599-605
Publisher:	Elsevier
Subject:	Central Limit Theorem \| Brownian motion in the unit sphere in Rn \| Ornstein–Uhlenbeck processes

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011040008