Invariance principle for nonhomogeneous random walks on the grid Z

被引:1
作者
Yarotskii, DA [1 ]
机构
[1] Moscow MV Lomonosov State Univ, Moscow 117234, Russia
关键词
invariance principle; nonhomogeneous one-dimensional random walk; diffusion processes; stochastic semigroups; weak convergence;
D O I
10.1007/BF02676448
中图分类号
O1 [数学];
学科分类号
0701 ; 070101 ;
摘要
A nonhomogeneous random walk on the grid Z(1) with transition probabilities that differ from those of a certain homogeneous random walk only at a finite number of points is considered. Trajectories of such a walk are proved to converge to trajectories of a certain generalized diffusion process on the line. This result is a generalization of the well-known invariance principle for the sums of independent random variables and Brownian motion.
引用
收藏
页码:372 / 383
页数:12
相关论文
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