Functional limit theorems for a time-changed multidimensional Wiener process
Abstract
We study the asymptotic behaviour of a properly normalized time-changed multidimensional Wiener process; the time change is given by an additive functional of the Wiener process itself. At the level of generators, the time change means that we consider the Laplace operator -- which generates a multidimensional Wiener process -- and multiply it by a (possibly degenerate) state-space dependent intensity. We assume that the intensity admits limits at infinity in each octant of the state space, but the values of these limits may be different. Applying a functional limit theorem for the superposition of stochastic processes, we prove functional limit theorems for the normalized time-changed multidimensional Wiener process. Among the possible limits there is a multidimensional analogue of skew Brownian motion.
Cite
@article{arxiv.2501.10820,
title = {Functional limit theorems for a time-changed multidimensional Wiener process},
author = {Yuliia Mishura and René L. Schilling},
journal= {arXiv preprint arXiv:2501.10820},
year = {2025}
}
Comments
14 pages. arXiv admin note: text overlap with arXiv:2005.04122