Cover Image

A process of runs and its convergence to the brownian motion

Let X1,X2,... be i.i.d. random variables with a continuous distribution function. Let R0=0, Rk=min{j>Rk-1, such that Xj>Xj+1}, k[greater-or-equal, slanted]1. We prove that all finite-dimensional distributions of a process , converge to those of the standard Brownian motion.
Year of publication:
1980
Authors: Pittel, B. G.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 10.1980, 1, p. 33-48
Publisher: Elsevier
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008875366
Similar items by person