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Properties of the first passage times of the reflected O-U

✍ Scribed by Lidong Zhang; Ziping Du

Publisher
Springer US
Year
2010
Tongue
English
Weight
267 KB
Volume
65
Category
Article
ISSN
0257-0130

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πŸ“œ SIMILAR VOLUMES

Invariance principles for the first pass
Invariance principles for the first passage times of perturbed random walks
✍ Lars Larsson-Cohn πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 73 KB

We prove invariance principles for the ΓΏrst passage time process of a perturbed random walk in one or two dimensions. More precisely, weak convergence to Brownian motion with respect to Skorohod's J1-topology is proved under suitable conditions on the perturbations.