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Trajectorial Fluctuations Of Cox Systems Of Independent Motions

Author

Listed:
  • Tomasz Bojdecki

    (University of Warsaw, Poland)

  • Luis G. Gorostiza

    (Centro de Investigacion y de Estudios Avanzados, Mexico)

Abstract

We obtain high-density fluctuation limits for trajectories of the motions in Cox systems of independent motions in "Rd". The motions are quite general; they include a large class of diffusions, Brownmian bridges and fractional Brownian motions. The limits take values ina space of distributions on Wiener space and in general are non-Gaussian.

Suggested Citation

  • Tomasz Bojdecki & Luis G. Gorostiza, 2000. "Trajectorial Fluctuations Of Cox Systems Of Independent Motions," RePAd Working Paper Series lrsp-TRS349, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:0042005
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    File URL: http://www.repad.org/ca/on/lrsp/TRS349.pdf
    File Function: First version, 2000
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    More about this item

    Keywords

    Infinite particle system; Cox measure; trajectorial fluctuation; distribution on Wiener space; non-Gaussian random distribution; time-localization.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General

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