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Additive functional 1 Centrally biased random walk 1 Centre of mass 1 Continuous additive functional 1 Excursion 1 Lamperti’s problem 1 Local time 1 Maximum 1 Passage-time 1 Path functional 1 Path integral 1 Random walk 1 Self-similar process 1 Stable process 1
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Can, Sami Umut 1 Hryniv, Ostap 1 Menshikov, Mikhail V. 1 Wade, Andrew R. 1
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Stochastic Processes and their Applications 2
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A class of asymptotically self-similar stable processes with stationary increments
Can, Sami Umut - In: Stochastic Processes and their Applications 124 (2014) 12, pp. 3986-4011
replacing the local time with a general continuous additive functional (CAF). We show that the resulting process is again …
Persistent link: https://www.econbiz.de/10011065117
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Excursions and path functionals for stochastic processes with asymptotically zero drifts
Hryniv, Ostap; Menshikov, Mikhail V.; Wade, Andrew R. - In: Stochastic Processes and their Applications 123 (2013) 6, pp. 1891-1921
We study discrete-time stochastic processes (Xt) on [0,∞) with asymptotically zero mean drifts. Specifically, we consider the critical (Lamperti-type) situation in which the mean drift at x is about c/x. Our focus is the recurrent case (when c is not too large). We give sharp asymptotics for...
Persistent link: https://www.econbiz.de/10011064993
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