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Scaling limit of d-inverse of Brownian motion with functional drift

The d-inverse is a generalized notion of inverse of a stochastic process having a certain tendency of increasing expectations. Scaling limit of the d-inverse of Brownian motion with functional drift is studied. Except for degenerate case, the class of possible scaling limits is proved to consist of the d-inverses of Brownian motion without drift, one with explosion in finite time, and one with power drift.

preprint2010arXivOpen access
Kouji YanoKatsutoshi Yoshioka
math.PR
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Open access2 authors1 topic
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Kouji YanoKatsutoshi Yoshioka

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