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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1983 Volume 28, Issue 1, Pages 3–31 (Mi tvp2149)

This article is cited in 5 papers

On the invariance principle for semimartingales with «nonclassical» assumptions

R. Š. Lipcer, A. N. Širyaev

Moscow

Abstract: Suppose that $X^n$, $n\ge 1$, is a family of semimartingales with triplets of local characteristics $(B^n,\langle X^{nc}\rangle,\nu^n)$ and let $M$ be a Gaussian martingale. We find conditions (theorem 2) which are sufficient for the weak convergence $X^n$ to $M$.

Received: 03.07.1981


 English version:
Theory of Probability and its Applications, 1984, 28:1, 1–34

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