A Central Limit Theorem for a sequence of Brownian motions in the unit sphere in Rn

S. Vakeroudis and M. Yor

Statistics & Probability Letters, 2012, vol. 82, issue 3, 599-605

Abstract: We use a Stochastic Differential Equation satisfied by Brownian motion taking values in the unit sphere Sn−1⊂Rn and we obtain a Central Limit Theorem for a sequence of such Brownian motions. We also generalize the results to the case of the n-dimensional Ornstein–Uhlenbeck processes.

Keywords: Central Limit Theorem; Brownian motion in the unit sphere in Rn; Ornstein–Uhlenbeck processes (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2011.11.018

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