Limit Behavior of the "Horizontal-Vertical" Random Walk and Some Extensions of the Donsker-Prokhorov Invariance Principle
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Publication:4442921
DOI10.1137/S0040585X97979834zbMath1034.60076OpenAlexW2074592049MaRDI QIDQ4442921
Marc Yor, Albert N. Shiryaev, Alexander S. Cherny
Publication date: 21 January 2004
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0040585x97979834
skew Brownian motionSkorokhod embedding problemlocal time of Brownian motionDonsker-Prokhorov invariance principle
Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55)
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