Limiting process for integral functionals of a wiener process on a cylinder

• Date: 1994
• Main Authors: Koval, Yu. B., Коваль, Ю. Б.
• Format: Article
• Language: Ukrainian; English
• Published: Institute of Mathematics, NAS of Ukraine 1994
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/5705
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

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...