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

MaRDI QIDQ5325331zbMATH OpenFDO

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

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)

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(2)

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• Estimate of the rate of convergence of the Ornstein-Uhlenbeck process with jumps to ergodic distribution

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