A discrete analogue and elementary derivation of 'Levy's equivalence' for Brownian motion

DOI10.1016/0167-7152(83)90031-7zbMath0515.60082OpenAlexW1963578537MaRDI QIDQ1051993

Gordon Simons

Publication date: 1983

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(83)90031-7

zbMATH Keywords

Donsker theoremLevy equivalence

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65) Stochastic integrals (60H05)

Related Items (6)

Testing for change-points with rank and sign statistics ⋮ On the geometry of uniform meandric systems ⋮ Heuristic approach to some laws for brownian motion ⋮ Random walk and Brownian local times in Wiener sheets: a tribute to my almost surely most visited \(75\) years young best friends, Endre Csáki and Pál Révész ⋮ On best possible approximations of local time ⋮ A trivariate version of Lévy's equivalence

Cites Work

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• Convergence of some expected first passage times
• Stochastic inequalities on partially ordered spaces
• A property of Brownian motion paths
• A test for a change in a parameter occurring at an unknown point
• The joint density of the maximum and its location for a Wiener process with drift
• Some Characteristics of Page's Two-sided Procedure for Detecting a Change in a Location Parameter

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