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JOURNALS // Theory of Stochastic Processes // Archive

Theory Stoch. Process., 2015 Volume 20(36), Issue 2, Pages 1–12 (Mi thsp99)

A survey on Skorokhod representation theorem without separability

Patrizia Bertia, Luca Pratellib, Pietro Rigoc

a Dipartimento di Matematica Pura ed Applicata ''G. Vitali'', Universita' di Modena e Reggio-Emilia, via Campi 213/B, 41100 Modena, Italy
b Accademia Navale, viale Italia 72, 57100 Livorno, Italy
c Dipartimento di Matematica ''F. Casorati'', Universita' di Pavia, via Ferrata 1, 27100 Pavia, Italy

Abstract: Let $S$ be a metric space, $\mathcal{G}$ a $\sigma$-field of subsets of $S$ and $(\mu_n:n\geq 0)$ a sequence of probability measures on $\mathcal{G}$. Say that $(\mu_n)$ admits a Skorokhod representation if, on some probability space, there are random variables $X_n$ with values in $(S,\mathcal{G})$ such that
\begin{equation*} X_n\sim\mu_n\text{ for each }n\ge 0\quad\text{and}\quad X_n\rightarrow X_0\text{ in probability}. \end{equation*}
We focus on results of the following type: $(\mu_n)$ has a Skorokhod representation if and only if $J(\mu_n,\mu_0)\rightarrow 0$, where $J$ is a suitable distance (or discrepancy index) between probabilities on $\mathcal{G}$. One advantage of such results is that, unlike the usual Skorokhod representation theorem, they apply even if the limit law $\mu_0$ is not separable. The index $J$ is taken to be the bounded Lipschitz metric and the Wasserstein distance.

Keywords: Convergence of probability measures, perfect probability measure, separable probability measure, Skorokhod representation theorem, uniform distance.

MSC: 60B10, 60A05, 60A10

Language: English



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