Functional limit theorems for processes pieced together from excursions

DOI10.2969/JMSJ/06741859MaRDI QIDQ904212zbMATH OpenOpenAlexWikidataFDO

Authors Kouji Yano

Publication date 12 January 2016

Published in Journal of the Mathematical Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1309.2652, https://projecteuclid.org/euclid.jmsj/1445951170

zbMATH Keywords

Brownian motionconvergence in lawexcursion theoryfunctional limit theoremshomogenizationself-similar Markov processesSierpiński gasketWalsh diffusions

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Geometric probability and stochastic geometry (60D05) Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Brownian motion (60J65)

Abstract: A notion of convergence of excursion measures is introduced. It is proved that convergence of excursion measures implies convergence in law of the processes pieced together from excursions. This result is applied to obtain homogenization theorems of jumping-in extensions for positive self-similar Markov processes, for Walsh diffusions and for the Brownian motion on the Sierpi'nski gasket.

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Cites work

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Cited in

(7)

• Convergence of excursion point processes and its applications to functional limit theorems of Markov processes on a half-line
• Time change approach to generalized excursion measures, and its application to limit theorems
• On a skew stable Lévy process
• Functional limit theorems for random walks perturbed by positive alpha-stable jumps
• On the central management of risk networks
• Model-free analysis of dynamic trading strategies
• Limit theorems for Lévy processes and Poisson point processes and their applications to Brownian excursions

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