Limit distributions of some integral functionals for null-recurrent diffusions

The limit distributions as T-->[infinity] of the functional are found for one-dimensional null-recurrent Markov processes X(t) under different assumptions concerning local characteristics of X(t) and f. The conditions for the convergence of the distribution of this functional to each distribution in the class of generalized arc-sine law, studied by Lamperti and Watanabe, are obtained.

MoreLess

Year of publication:	2001
Authors:	Khasminskii, R.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 92.2001, 1, p. 1-9
Publisher:	Elsevier
Subject:	Generalized arc-sine law Null-recurrent diffusion

More details

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

Persistent link: https://www.econbiz.de/10008873165