Journal of the
Korean Mathematical Society
JKMS

ISSN(Print) 0304-9914 ISSN(Online) 2234-3008

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J. Korean Math. Soc. 1997; 34(3): 707-717

Printed September 1, 1997

Copyright © The Korean Mathematical Society.

On the square of Brownian density process

Nhansook Cho

Hansung University

Abstract

The square of Brownian density process, $Q^\lambda$ is defined where $\lambda$ is a parameter. Applying limit theorems of stochastic integrals w.r.t. martingale measure, we prove a weak limit theorem for $Q^\lambda $ in $D_{\Cal S'(R^d)}[0,1]$.

Keywords: Brownian density process, martingale measure, stochastic integral

MSC numbers: 60J55, 60H15, 60F17

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