Environment-wise central limit theorem for a diffusion in a Brownian environment with large drift

Hiroshi Tanaka
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Hiroshi Tanaka: Keio University, Department of Mathematics, Faculty of Science and Technology

A chapter in Itô’s Stochastic Calculus and Probability Theory, 1996, pp 373-384 from Springer

Abstract: Abstract General theory of one-dimensional diffusion process was established by Itô and McKean ([1]) more than thirty years ago. In this paper we discuss the central limit theorem concerning a diffusion process in one-dimensional Brownian environment with large drift. Many of our methods benefit from the theory by Itô and McKean.

Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-68532-6_24

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DOI: 10.1007/978-4-431-68532-6_24

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