Teoriya Veroyatnostei i ee Primeneniya
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor
Guidelines for authors
Submit a manuscript

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS



Teor. Veroyatnost. i Primenen.:
Year:
Volume:
Issue:
Page:
Find






Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register


Teoriya Veroyatnostei i ee Primeneniya, 1997, Volume 42, Issue 4, Pages 757–771
DOI: https://doi.org/10.4213/tvp2289
(Mi tvp2289)
 

This article is cited in 5 scientific papers (total in 5 papers)

Weak convergence of the integrated number of level crossings to the local time for Wiener processes

C. Berzin-Josephab, J. R. Leónc

a Université Versailles-Saint-Quentin en Yvelines
b Université Paris-Sud, Département de Mathématiques, Laboratoire de Statistiques Orsay, France
c U. С. V. Facultad de Ciencias, Departamento de~Matemáticas, Venezuela
Full-text PDF (635 kB) Citations (5)
Abstract: Let $\{X_{t},\ t\in[0,1]\}$ be a standard Wiener process defined on $(\Omega,A,\mathbb P)$. We define the regularized process $X^{\varepsilon}_{t}= \varphi_{\varepsilon}*X_{t}$, with $\varphi_{\varepsilon}(t)=\varepsilon^{-1}\varphi(t/\varepsilon)$, a kernel that approaches Dirac's delta function as $\varepsilon \rightarrow 0$. We study the convergence of
$$ Z_{\varepsilon}(f) = \varepsilon^{-1/2} \int_{-\infty}^{+\infty} \biggl [ \frac{N^{X^{\varepsilon}}(x)}{c(\varepsilon)} - L_{X}(x)\biggr]f(x)\, dx, $$
when $\varepsilon$ goes to zero, with $N^{X^{\varepsilon}}(x)$ the number of crossings for $X^{\varepsilon}$ at level $x$ in $[0,1]$ and $L_{X}(x)$ the local time of $X$ in $x$ on $[0,1]$. As a by-product of our method we also obtain a weak convergence result for the increments of the process $X$.
Keywords: Wiener processes, local time, crossings, increments.
Received: 07.06.1996
English version:
Theory of Probability and its Applications, 1998, Volume 42, Issue 4, Pages 568–579
DOI: https://doi.org/10.1137/S0040585X97976490
Bibliographic databases:
Language: English
Citation: C. Berzin-Joseph, J. R. León, “Weak convergence of the integrated number of level crossings to the local time for Wiener processes”, Teor. Veroyatnost. i Primenen., 42:4 (1997), 757–771; Theory Probab. Appl., 42:4 (1998), 568–579
Citation in format AMSBIB
\Bibitem{BerLeo97}
\by C.~Berzin-Joseph, J.~R.~Le\'on
\paper Weak convergence of the integrated number of~level crossings to~the~local time for~Wiener processes
\jour Teor. Veroyatnost. i Primenen.
\yr 1997
\vol 42
\issue 4
\pages 757--771
\mathnet{http://mi.mathnet.ru/tvp2289}
\crossref{https://doi.org/10.4213/tvp2289}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=1618738}
\zmath{https://zbmath.org/?q=an:0911.60005|0908.60005}
\transl
\jour Theory Probab. Appl.
\yr 1998
\vol 42
\issue 4
\pages 568--579
\crossref{https://doi.org/10.1137/S0040585X97976490}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000079809500002}
Linking options:
  • https://www.mathnet.ru/eng/tvp2289
  • https://doi.org/10.4213/tvp2289
  • https://www.mathnet.ru/eng/tvp/v42/i4/p757
  • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
    Statistics & downloads:
    Abstract page:275
    Full-text PDF :151
    First page:31
     
      Contact us:
     Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024