arXiv:1006.4693 Abstract | arXiv Analytics

arXiv:1006.4693 [math.PR]Abstract References Reviews Resources

On Convergence to Stochastic Integrals

Published 2010-06-24, updated 2010-08-01Version 3

Weak convergence of various general functionals of partial sums of dependent random variables to stochastic integral now play a major role in the modern statistics theory. In this paper, we obtain the weak convergence of various general functionals of partial sums of casual process by means of the method which was introduced in Jacod and Shiryaev (2003).

Comments: 20pages

Categories: math.PR

Keywords: stochastic integral, weak convergence, partial sums, general functionals, dependent random variables

Related articles: Most relevant | Search more

arXiv:0711.1439 [math.PR] (Published 2007-11-09, updated 2010-01-25)

Weak convergence of error processes in discretizations of stochastic integrals and Besov spaces

Stefan Geiss, Anni Toivola

arXiv:2005.05827 [math.PR] (Published 2020-05-12)

A CLT for dependent random variables, with an application to an infinite system of interacting diffusion processes

Le Chen, Davar Khoshnevisan, David Nualart, Fei Pu

arXiv:1107.6016 [math.PR] (Published 2011-07-29, updated 2012-02-17)

2-microlocal analysis of martingales and stochastic integrals