A central limit theorem for a sequence of Brownian motions in the unit sphere in R^n

DOI10.1016/J.SPL.2011.11.018MaRDI QIDQ419188zbMATH OpenOpenAlexFDO

Authors Stavros Vakeroudis, Marc Yor

Publication date 18 May 2012

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

Full work available at URL https://arxiv.org/abs/1107.3230

zbMATH Keywords

Brownian motion in the unit sphere in \(\mathbb R^{n}\)central limit theoremOrnstein-Uhlenbeck processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Abstract: We use a Stochastic Differential Equation satisfied by Brownian motion taking values in the unit sphere $S_{n-1}subsetmathbb{R}^n$ and we obtain a Central Limit Theorem for a sequence of such Brownian motions. We also generalize the results to the case of the $n$-dimensional Ornstein-Uhlenbeck processes.

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Cites work

• A propos de l'inverse du mouvement brownien
• Distribution-valued processes arising from independent Brownian motions
• scientific article; zbMATH DE number 3720745 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• Limit theorems for a class of diffusion processes
• On Hitting Times of the Winding Processes of Planar Brownian Motion and of Ornstein--Uhlenbeck Processes via Bougerol's identity
• On the growth of stochastic integrals
• The mean first rotation time of a planar polymer

Cited in

(4)

• The central limit theorem in texture component fit methods
• Projections of spherical Brownian motion
• Moderate deviation principle for Brownian motions on the unit sphere in R^d
• Ornstein-Uhlenbeck limit for the velocity process of an N-particle system interacting stochastically

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