Gaussian limit theorems for diffusion processes and an application

Joseph G. Conlon and Renming Song

Stochastic Processes and their Applications, 1999, vol. 81, issue 1, 103-128

Abstract: Suppose that L=[summation operator]i, j=1daij(x)[not partial differential]2/[not partial differential]xi[not partial differential]xj is uniformly elliptic. We use XL(t) to denote the diffusion associated with L. In this paper we show that, if the dimension of the set is strictly less than d, the random variable converges in distribution to a standard Gaussian random variable. In fact, we also provide rates of convergence. As an application, these results are used to study a problem of a random walk in a random environment.

Keywords: Random; walks; Diffusions; Random; environments (search for similar items in EconPapers)
Date: 1999
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(98)00095-7
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:81:y:1999:i:1:p:103-128

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().