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A note on the central limit theorem for the idleness process in a one‐sided reflected Ornstein–Uhlenbeck model |
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| Authors: | Michel Mandjes Peter Spreij |
| Affiliation: | Korteweg‐de Vries Institute for Mathematics, University of Amsterdam, Amsterdam, The Netherlands |
| Abstract: | In this short communication, we present a (functional) central limit theorem for the idleness process of a one‐sided reflected Ornstein–Uhlenbeck proces. |
| Keywords: | Ornstein– Uhlenbeck processes, reflection, idleness process, central limit theoremsAMS subject classification. 60G10, 60J60 |