Limiting process for integral functionals of a wiener process on a cylinder
We prove that integral functionals, whose integrands are bounded functions of a Wiener process on a cylinder, weakly converge to the process $w_1(τ(t)),\, τ(t) = β_1 t + (β_2 − β_1) \text{mes} \{s:w 2(s) ≥ 0,\, s < t\}$, where $w_1(t)$ and $w_2(t)$ are independent one-dimensional Wiener proce...
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| Date: | 1994 |
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| Main Authors: | , |
| Format: | Article |
| Language: | Ukrainian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
1994
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/5705 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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