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Zapiski Nauchnykh Seminarov POMI, 2006, Volume 339, Pages 111–134 (Mi znsl161)  
Limit theorems for nonhomogeneous Ornstein–Uhlenbeck process

O. V. Rusakov, A. N. Chuprunov

Saint-Petersburg State University
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Abstract: We describe a construction of a summation scheme with replacements of random variables. We obtain, as a limit, a time nonhomogeneous generalization of Ornstein–Uhlenbeck process. We describe it by a transform of Lamperti type where an arbitrary continuous monotone function is used instead of the exponential one.
Received: 20.11.2006
English version:
Journal of Mathematical Sciences (New York), 2007, Volume 145, Issue 2, Pages 4900–4913
DOI: https://doi.org/10.1007/s10958-007-0324-x
Bibliographic databases:
UDC: 519.21
Language: Russian
Citation: O. V. Rusakov, A. N. Chuprunov, “Limit theorems for nonhomogeneous Ornstein–Uhlenbeck process”, Probability and statistics. Part 10, Zap. Nauchn. Sem. POMI, 339, POMI, St. Petersburg, 2006, 111–134; J. Math. Sci. (N. Y.), 145:2 (2007), 4900–4913
Citation in format AMSBIB
\Bibitem{RusChu06}
\by O.~V.~Rusakov, A.~N.~Chuprunov
\paper Limit theorems for nonhomogeneous Ornstein--Uhlenbeck process
\inbook Probability and statistics. Part~10
\serial Zap. Nauchn. Sem. POMI
\yr 2006
\vol 339
\pages 111--134
\publ POMI
\publaddr St.~Petersburg
\mathnet{http://mi.mathnet.ru/znsl161}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2355405}
\zmath{https://zbmath.org/?q=an:1131.60023}
\transl
\jour J. Math. Sci. (N. Y.)
\yr 2007
\vol 145
\issue 2
\pages 4900--4913
\crossref{https://doi.org/10.1007/s10958-007-0324-x}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-34547666810}
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