Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5130162 | Stochastic Processes and their Applications | 2016 | 24 Pages |
Abstract
Consider the nth iterated Brownian motion I(n)=Bnââ¯âB1. Curien and Konstantopoulos proved that for any distinct numbers tiâ 0, (I(n)(t1),â¦,I(n)(tk)) converges in distribution to a limit I[k] independent of the ti's, exchangeable, and gave some elements on the limit occupation measure of I(n). Here, we prove under some conditions, finite dimensional distributions of nth iterated two-sided stable processes converge, and the same holds the reflected Brownian motions. We give a description of the law of I[k], of the finite dimensional distributions of I(n), as well as those of the iterated reflected Brownian motion iterated ad libitum.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Jérôme Casse, Jean-François Marckert,