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A class of limit theorems for singular diffusions

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  • Basak, Gopal K.

Abstract

We consider singular diffusions on k. Under a verifiable criterion for the stability in distribution of such diffusions, a broad subset of the range of the infinitesimal generator of the diffusion is identified. For functions in this set functional central limit theorems and laws of iterated logarithm are derived.

Suggested Citation

  • Basak, Gopal K., 1991. "A class of limit theorems for singular diffusions," Journal of Multivariate Analysis, Elsevier, vol. 39(1), pages 44-59, October.
    • Handle: RePEc:eee:jmvana:v:39:y:1991:i:1:p:44-59
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    Citations

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    Cited by:

    1. Gopal Basak & Mrinal Ghosh & Diganta Mukherjee, 2011. "Influence of Big Traders on the Stock Market: Theory and Simulation," Dynamic Games and Applications, Springer, vol. 1(2), pages 220-252, June.
    2. Heunis, Andrew J., 2003. "Strong invariance principle for singular diffusions," Stochastic Processes and their Applications, Elsevier, vol. 104(1), pages 57-80, March.
    3. Basak, Gopal K. & Hu, Inchi & Wei, Ching-Zong, 1997. "Weak convergence of recursions," Stochastic Processes and their Applications, Elsevier, vol. 68(1), pages 65-82, May.

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