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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1980 Volume 25, Issue 4, Pages 683–703 (Mi tvp1225)

This article is cited in 66 papers

A functional central limit theorem for semimartingales

R. Š. Lipčer, A. N. Širyaev

Moscow

Abstract: Let $X^n$, $n\geqslant 1$, be a sequence of semimartingales with triplets of local characteristics $T^n=(B^n,\langle X^{cn}\rangle,\nu^n)$ and let $X$ be a continuous Gaussian martingale with a triplet $T=(0,\langle X\rangle,0)$. We give conditions on the convergence of the triplets $T^n$ to $T$ which are sufficient for the weak convergence of the distributions of $X^n$ to the distribution of $X$ and for the weak convergence of the finite-dimensional distributions of $X^n$ to the corresponding finite-dimensional distributions of $X$.

Received: 25.03.1980


 English version:
Theory of Probability and its Applications, 1981, 25:4, 667–688

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