Oscillating processes with independent increments and nondegenerate Wiener component

DOI10.1007/BF01057401MaRDI QIDQ808536zbMATH OpenOpenAlexFDO

Authors D. V. Gusak

Publication date 1990

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01057401

zbMATH Keywords

characteristic function of the ergodic distribution of the processindependent incrementsoscillating random walks

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Sums of independent random variables; random walks (60G50) Markov processes (60J99)

Review text

The author relates his results on limit distribution for oscillating random walks [Probability theory and mathematical statistics, Proc. 5th Vilnius Conf., Vilnius/Lith. 1989, Vol. III, 170-171 (1990)]. Here, the oscillating process \(\zeta_ z(t)\) is defined by two homogeneous processes \(\xi_ 1(t)\) and \(\xi_ 2(t)\) with independent increments and nondegenerate Wiener components. Under a few restrictions, he establishes a relation of the form \[ \phi (\lambda,\alpha)=\lambda \int^{\infty}_{0}\exp (-\lambda t)E \exp \{i\alpha \zeta_ z(t)\}dt \] and finds the characteristic function of the ergodic distribution of the process.

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Cites work

• Oscillating random walk models for GI/G/1 vacation systems with Bernoulli schedules
• The oscillating random walk

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