Limit Theorems for Motions in a Flow with a Nonzero Drift

1999/07/27 by Albert Fannjiang, Fannjiang, Albert, Tomasz Komorowski +1
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #FOS: Physical sciences #Financial Risk and Volatility Modeling #Mathematical Physics (math-ph) #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.math/9907159

openalex publication_date 1999/07/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We establish diffusion and fractional Brownian motion approximations for motions in a Markovian Gaussian random field with a nonzero mean.

Citations

• Taylor-Kubo Formula for Turbulent Diffusion in a Non-Mixing Flow with Long-Range Correlation

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