Georgiou, Nicholas and Mijatović, Aleksandar and Wade, Andrew R. (2018) 'A radial invariance principle for non-homogeneous random walks.', Electronic communications in probability., 23 . p. 56.
Abstract
Consider non-homogeneous zero-drift random walks in Rd, d≥2, with the asymptotic increment covariance matrix σ2(u) satisfying u⊤σ2(u)u=U and trσ2(u)=V in all in directions u∈Sd−1 for some positive constants U<V. In this paper we establish weak convergence of the radial component of the walk to a Bessel process with dimension V/U. This can be viewed as an extension of an invariance principle of Lamperti.
Item Type: | Article |
---|---|
Full text: | Publisher-imposed embargo (AM) Accepted Manuscript File format - PDF (264Kb) |
Full text: | (VoR) Version of Record Available under License - Creative Commons Attribution. Download PDF (417Kb) |
Status: | Peer-reviewed |
Publisher Web site: | https://doi.org/10.1214/18-ecp159 |
Publisher statement: | This article is available under the terms of Creative Commons Attribution 4.0 International License. |
Date accepted: | 30 July 2018 |
Date deposited: | 31 July 2018 |
Date of first online publication: | 12 September 2018 |
Date first made open access: | No date available |
Save or Share this output
Export: | |
Look up in GoogleScholar |