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Integral and local limit theorems for level crossings of diffusions and the Skorohod problem

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	Integral and local limit theorems for level crossings of diffusions and the Skorohod problem
2.	Creator	Author's name, affiliation, country	Rafał Marcin Łochowski; Warsaw School of Economics and Prince Mohammad Bin Fahd University; Poland
2.	Creator	Author's name, affiliation, country	Raouf Ghomrasni; The African Institute for Mathematical Sciences and University of Stellenbosch; South Africa
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	level crossings, interval crossings, the Skorohod problem, diffusions; semimartingales; local time; truncated variation
3.	Subject	Subject classification	60F17; 60F15; 60G44; 60G17
4.	Description	Abstract	Using a new technique, based on the regularisation of a càdlàg process via the double Skorohod map, we obtain limit theorems for integrated numbers of level crossings of diffusions. This result is related to the recent results on the limit theorems for the truncated variation. We also extend to diffusions the classical result of Kasahara on the "local" limit theorem for the number of crossings of a Wiener process. We establish the correspondence between the truncated variation and the double Skorohod map. Additionally, we prove some auxiliary formulas for the Skorohod map with time-dependent boundaries.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)	African Institute for Mathematical Sciences, National Science Centre in Poland under decision no. UMO-2011/01/B/ST1/05089
7.	Date	(YYYY-MM-DD)	2014-01-17
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/2644
10.	Identifier	Digital Object Identifier	10.1214/EJP.v19-2644
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 19
12.	Language	English=en	en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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