Linear rescaling of the stochastic process
نویسنده
چکیده
Discussion on the limits in distribution of processes Y under joint rescaling of space and time is presented in this paper. The results due to Lamperti (1962), Weissman (1975), Hudson & Mason (1982) and Laha & Rohatgi (1982) are improved here.
منابع مشابه
APPROXIMATION SOLUTION OF TWO-DIMENSIONAL LINEAR STOCHASTIC FREDHOLM INTEGRAL EQUATION BY APPLYING THE HAAR WAVELET
In this paper, we introduce an efficient method based on Haar wavelet to approximate a solutionfor the two-dimensional linear stochastic Fredholm integral equation. We also give an example to demonstrate the accuracy of the method.
متن کاملA computational wavelet method for numerical solution of stochastic Volterra-Fredholm integral equations
A Legendre wavelet method is presented for numerical solutions of stochastic Volterra-Fredholm integral equations. The main characteristic of the proposed method is that it reduces stochastic Volterra-Fredholm integral equations into a linear system of equations. Convergence and error analysis of the Legendre wavelets basis are investigated. The efficiency and accuracy of the proposed method wa...
متن کاملNumerical Solution of Heun Equation Via Linear Stochastic Differential Equation
In this paper, we intend to solve special kind of ordinary differential equations which is called Heun equations, by converting to a corresponding stochastic differential equation(S.D.E.). So, we construct a stochastic linear equation system from this equation which its solution is based on computing fundamental matrix of this system and then, this S.D.E. is solved by numerically methods. Moreo...
متن کاملTesting for Stochastic Non- Linearity in the Rational Expectations Permanent Income Hypothesis
The Rational Expectations Permanent Income Hypothesis implies that consumption follows a martingale. However, most empirical tests have rejected the hypothesis. Those empirical tests are based on linear models. If the data generating process is non-linear, conventional tests may not assess some of the randomness properly. As a result, inference based on conventional tests of linear models can b...
متن کاملDiagnostic Measures in Ridge Regression Model with AR(1) Errors under the Stochastic Linear Restrictions
Outliers and influential observations have important effects on the regression analysis. The goal of this paper is to extend the mean-shift model for detecting outliers in case of ridge regression model in the presence of stochastic linear restrictions when the error terms follow by an autoregressive AR(1) process. Furthermore, extensions of measures for diagnosing influential observations are ...
متن کامل