Time change approach to generalized excursion measures, and its application to limit theorems
Abstract
Description
It is proved that generalized excursion measures can be constructed via time change of Ito's Brownian excursion measure. A tightness-like condition on strings is introduced to prove a convergence theorem of generalized excursion measures. The convergence theorem is applied to obtain a conditional limit theorem, a kind of invariance principle where the limit is the Bessel meander.
20 pages. Dedicated to Professor M. Fukushima on the occasion of his 70th birthday
20 pages. Dedicated to Professor M. Fukushima on the occasion of his 70th birthday