Approximation models for the continuous additive functionals of multidimensional brownian motion

Vlad Bally

Stochastic Processes and their Applications, 1989, vol. 32, issue 2, 331-345

Abstract: A general approximation model for the continuous additive functionals of the multidimensional Brownian motion is defined by summing a family of "local" processes over the representing measure of the considered CAF. Natural analogous to the classical approximation theorems for the local time of the one-dimensional Brownian motion (occupation time, downcrossings, flat stretches and so on) are obtained. The considered approximation is in L2.

Keywords: multidimensional; Brownish; motion; continuous; additive; functionals; representing; measure; L2-approximation; Bessel; process (search for similar items in EconPapers)
Date: 1989
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