On the number of crossings of some levels by a sequence of diffusion processes

• Main Author: M. M. Osypchuk
• Format: Article
• Language: English
• Published: Vasyl Stefanyk Precarpathian National University 2009-12-01
• Series: Karpatsʹkì Matematičnì Publìkacìï
• Online Access: http://journals.pu.if.ua/index.php/cmp/article/view/30/26

The limit behavior of the number of crossings of some sequence of levels by the following sequence of random variables $xi_n(0)$, $xi_nleft(frac{1}{m}ight)$,..., $xi_nleft(frac{N}{m}ight)$, as the integers $n$, $m$, $N$ are increasing to infinity in some consistent way, is investigated, where $(xi_n(t))_{tge0}$ for $n=1,2,dots$ is a diffusion process on a real line $mathbb{R}$ with its local characteristics (that is, drift and diffusion coefficients) $(a_n(x))_{xinmathbb{R}}$ and $(b_n(x))_{xinmathbb{R}}$ given by $a_n(x)=na(nx)$, $b_n(x)=b(nx)$ for $xinmathbb{R}$ and $n=1,2,dots$ with some fixed functions $(a(x))_{xinmathbb{R}}$ and $(b(x))_{xinmathbb{R}}$.