Limit Distribution of a Generalized Ornstein -- Uhlenbeck Process
- Andriy Yurachkivsky
Abstract
Let an $\bR^d$-valued random process $\xi$ be the solution of an equation of the kind $\xi(t)=\xi(0)+\int_0^tA(u)\xi(u)\rd\iota(u)+S(t),$ where $\xi(0)$ is a random variable measurable w.\,r.\,t. some $\sigma$-algebra $\cF(0)$, $S$ is a random process with $\cF(0)$-conditionally independent increments, $\iota$ is a continuous numeral random process of locally bounded variation, and $A$ is a matrix-valued random process such that for any $t>0$ $\int_0^t\|A(s)\|\ |\rd\iota(s)|<\iy.$ Conditions guaranteing existence of the limiting, as $t\to\iy$, distribution of $\xi(t)$ are found. The characteristic function of this distribution is written explicitly.- Full Text: PDF
- DOI:10.5539/ijsp.v6n1p24
This work is licensed under a Creative Commons Attribution 4.0 License.
Journal Metrics
- h-index (December 2021): 20
- i10-index (December 2021): 51
- h5-index (December 2021): N/A
- h5-median(December 2021): N/A
( The data was calculated based on Google Scholar Citations. Click Here to Learn More. )
Index
- ACNP
- Aerospace Database
- BASE (Bielefeld Academic Search Engine)
- CNKI Scholar
- COPAC
- DTU Library
- Elektronische Zeitschriftenbibliothek (EZB)
- EuroPub Database
- Excellence in Research for Australia (ERA)
- Google Scholar
- Harvard Library
- Infotrieve
- JournalTOCs
- LOCKSS
- MIAR
- Mir@bel
- PKP Open Archives Harvester
- Publons
- ResearchGate
- SHERPA/RoMEO
- Standard Periodical Directory
- Technische Informationsbibliothek (TIB)
- UCR Library
- WorldCat
Contact
- Wendy SmithEditorial Assistant
- ijsp@ccsenet.org