The invariance principle for the Ornstein-Uhlenbeck process with fast Poisson time: an estimate for the rate of convergence

zbMATH Open1199.60099MaRDI QIDQ5325331FDOQ5325331

Authors: B. V. Bondarev, A. V. Bayev 

Publication date: 8 August 2009

Full work available at URL: http://www.ams.org/tpms/2008-76-00/S0094-9000-08-00727-8/home.html

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zbMATH Keywords

Ornstein-Uhlenbeck processPoisson processdistribution of supremum

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (1)

• Estimates of the even moments of certain stochastic integrals with respect to the Poisson measure of the Ornstein-Uhlenbeck jump process

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