Scaling limit of d-inverse of Brownian motion with functional drift
Probability
2010-08-30 v2
Abstract
The d-inverse is a generalized notion of inverse of a stochastic process having a certain tendency of increasing expectations. Scaling limit of the d-inverse of Brownian motion with functional drift is studied. Except for degenerate case, the class of possible scaling limits is proved to consist of the d-inverses of Brownian motion without drift, one with explosion in finite time, and one with power drift.
Keywords
Cite
@article{arxiv.1006.0535,
title = {Scaling limit of d-inverse of Brownian motion with functional drift},
author = {Kouji Yano and Katsutoshi Yoshioka},
journal= {arXiv preprint arXiv:1006.0535},
year = {2010}
}