A Central Limit Theorem for a sequence of Brownian motions in the unit sphere in Rn

2011/07/16 by Vakeroudis, Stavros, Yor, Marc
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1107.3230

Abstract

We use a Stochastic Differential Equation satisfied by Brownian motion taking values in the unit sphere S_n-1subsetmathbbRⁿ and we obtain a Central Limit Theorem for a sequence of such Brownian motions. We also generalize the results to the case of the n-dimensional Ornstein-Uhlenbeck processes.

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