Deterministic equivalents of additive functionals of recurrent diffusions and drift estimation

2007 ◽  
Vol 11 (2) ◽  
pp. 107-121 ◽  
Author(s):  
D. Loukianova ◽  
O. Loukianov
Keyword(s):  
Additive Functionals ◽  
Drift Estimation

Limit distribution of additive functionals of diffusion processes

1968 ◽  
Vol 4 (5) ◽  
pp. 850-856
Author(s):  
R. Z. Khas'minskii
Keyword(s):  
Limit Distribution ◽  
Diffusion Processes ◽  
Additive Functionals

ON the Openness of Functors of k-Nonexpanding and Weakly Additive Functionals

2014 ◽  
Vol 65 (11) ◽  
pp. 1733-1742
Author(s):  
L. I. Karchevs’ka
Keyword(s):  
Additive Functionals

Residual Drift Estimation for Moment Resisting Frames with Steel Degradation Properties

ce/papers ◽  
2021 ◽  
Vol 4 (2-4) ◽  
pp. 1917-1923
Author(s):  
Borjan Petreski ◽  
Igor Gjorgjiev
Keyword(s):  
Residual Drift ◽  
Moment Resisting Frames ◽  
Drift Estimation ◽  
Moment Resisting ◽  
Degradation Properties

Large deviations of generalized renewal process

2020 ◽  
Vol 30 (4) ◽  
pp. 215-241
Author(s):  
Gavriil A. Bakay ◽  
Aleksandr V. Shklyaev
Keyword(s):  
Large Deviations ◽  
Renewal Process ◽  
Limit Theorems ◽  
Local Limit ◽  
Asymptotic Formulas ◽  
Additive Functionals ◽  
Wide Range ◽  
Finite Markov Chains ◽  
Independent Identically Distributed ◽  
Local Limit Theorems

AbstractLet (ξ(i), η(i)) ∈ ℝd+1, 1 ≤ i < ∞, be independent identically distributed random vectors, η(i) be nonnegative random variables, the vector (ξ(1), η(1)) satisfy the Cramer condition. On the base of renewal process, NT = max{k : η(1) + … + η(k) ≤ T} we define the generalized renewal process ZT = $\begin{array}{} \sum_{i=1}^{N_T} \end{array}$ξ(i). Put IΔT(x) = {y ∈ ℝd : xj ≤ yj < xj + ΔT, j = 1, …, d}. We find asymptotic formulas for the probabilities P(ZT ∈ IΔT(x)) as ΔT → 0 and P(ZT = x) in non-lattice and arithmetic cases, respectively, in a wide range of x values, including normal, moderate, and large deviations. The analogous results were obtained for a process with delay in which the distribution of (ξ(1), η(1)) differs from the distribution on the other steps. Using these results, we prove local limit theorems for processes with regeneration and for additive functionals of finite Markov chains, including normal, moderate, and large deviations.

scholarly journals Second-order limit laws for occupation times of fractional Brownian motion

2017 ◽  
Vol 54 (2) ◽  
pp. 444-461 ◽  
Author(s):  
Fangjun Xu
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Method Of Moments ◽  
Second Order ◽  
Hurst Index ◽  
Occupation Times ◽  
Limit Laws ◽  
Additive Functionals ◽  
Finite Dimensional ◽  
Functional Version

Abstract We prove a second-order limit law for additive functionals of a d-dimensional fractional Brownian motion with Hurst index H = 1 / d, using the method of moments and extending the Kallianpur–Robbins law, and then give a functional version of this result. That is, we generalize it to the convergence of the finite-dimensional distributions for corresponding stochastic processes.

Sign in / Sign up

Export Citation Format

Share Document