English

Processes iterated ad libitum

Probability 2015-04-27 v1

Abstract

Consider the nnth iterated Brownian motion I(n)=BnB1I^{(n)}=B_n \circ\cdots \circ B_1. Curien and Konstantopoulos proved that for any distinct numbers ti0t_i\neq 0, (I(n)(t1),,I(n)(tk))(I^{(n)}(t_1),\dots,I^{(n)}(t_k)) converges in distribution to a limit I[k]I[k] independent of the tit_i's, exchangeable, and gave some elements on the limit occupation measure of I(n)I^{(n)}. Here, we prove under some conditions, finite dimensional distributions of nnth iterated two-sided stable processes converge, and the same holds the reflected Brownian motions. We give a description of the law of I[k]I[k], of the finite dimensional distributions of I(n)I^{(n)}, as well as those of the iterated reflected Brownian motion iterated ad libitum.

Keywords

Cite

@article{arxiv.1504.06433,
  title  = {Processes iterated ad libitum},
  author = {Jérôme Casse and Jean-François Marckert},
  journal= {arXiv preprint arXiv:1504.06433},
  year   = {2015}
}
R2 v1 2026-06-22T09:21:55.364Z