Asymptotic expansions in limit theorems for stochastic processes. II |
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Authors: | Alexander D. Wentzell |
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Affiliation: | (1) Department of Mathematics, Tulane University, New Orleans, LA 70118, USA. (e-mail: wentzell@math.tulane.edu), US |
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Abstract: | . For a certain class of families of stochastic processes ηε(t), 0≤t≤T, constructed starting from sums of independent random variables, limit theorems for expectations of functionals F(ηε[0,T]) are proved of the form where w 0 is a Wiener process starting from 0, with variance σ2 per unit time, A i are linear differential operators acting on functionals, and m=1 or 2. Some intricate differentiability conditions are imposed on the functional. Received: 12 September 1995 / Revised version: 6 April 1998 |
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Keywords: | Mathematics Subject Classification (1991): 60F17 |
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