Time change approach to generalized excursion measures, and its application to limit theorems

DOI10.1007/S10959-007-0108-8zbMATH Open1148.60054arXivmath/0608530OpenAlexW2117251286WikidataQ58331062 ScholiaQ58331062MaRDI QIDQ2481394FDOQ2481394

Patrick J. Fitzsimmons, Kouji Yano

Publication date: 9 April 2008

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: It is proved that generalized excursion measures can be constructed via time change of Ito's Brownian excursion measure. A tightness-like condition on strings is introduced to prove a convergence theorem of generalized excursion measures. The convergence theorem is applied to obtain a conditional limit theorem, a kind of invariance principle where the limit is the Bessel meander.

Full work available at URL: https://arxiv.org/abs/math/0608530

Recommendations

• A conditional limit theorem for generalized diffusion processes
• scientific article; zbMATH DE number 3897970
• Functional limit theorems for processes pieced together from excursions
• Limit theorems for Lévy processes and Poisson point processes and their applications to Brownian excursions
• scientific article

zbMATH Keywords

Conditional limit theoremsBessel meanderRandom time changeItô's excursion measure

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Semi-martingales et grossissement d'une filtration
• Title not available (Why is that?)
• Eigenfunction Expansions Associated With Singular Differential Operators
• Title not available (Why is that?)
• Krein's strings with singular left boundary
• Title not available (Why is that?)
• On a functional central limit theorem for random walks conditioned to stay positive
• Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
• Limit theorems for random walks, birth and death processes, and diffusion processes
• Title not available (Why is that?)
• A decomposition of Bessel Bridges
• Title not available (Why is that?)
• Brownian representation of a class of Lévy processes and its application to occupation times of diffusion processes
• Excursion measure away from an exit boundary of one-dimensional diffusion processes
• Functional central limit theorems for random walks conditioned to stay positive
• Title not available (Why is that?)
• A conditional limit theorem for generalized diffusion processes
• Title not available (Why is that?)

Cited In (12)

• Title not available (Why is that?)
• One-point reflection
• Spectral representation of one-dimensional Liouville Brownian motion and Liouville Brownian excursion
• Excursions away from a regular point for one-dimensional symmetric Lévy processes without Gaussian part
• On a Zero-One Law for the Norm Process of Transient Random Walk
• Itô's theory of excursion point processes and its developments
• Time-changed extremal process as a random sup measure
• A conditional limit theorem for generalized diffusion processes
• On the laws of total local times for \(h\)-paths and bridges of symmetric Lévy processes
• Title not available (Why is that?)
• Functional limit theorems for processes pieced together from excursions
• Convergence of excursion point processes and its applications to functional limit theorems of Markov processes on a half-line

This page was built for publication: Time change approach to generalized excursion measures, and its application to limit theorems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2481394)