Geodesic
Limit theorems for nonhomogeneous Ornstein–Uhlenbeck process
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 10, Tome 339 (2006), pp. 111-134 Cet article a éte moissonné depuis la source Math-Net.Ru

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We describe a construction of a summation scheme with replacements of random variables. We obtain, as a limit, a time nonhomogeneous generalization of Ornstein–Uhlenbeck process. We describe it by a transform of Lamperti type where an arbitrary continuous monotone function is used instead of the exponential one. 
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O. V. Rusakov; A. N. Chuprunov. Limit theorems for nonhomogeneous Ornstein–Uhlenbeck process. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 10, Tome 339 (2006), pp. 111-134. http://geodesic.mathdoc.fr/item/ZNSL_2006_339_a7/

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