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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1981 Volume 26, Issue 1, Pages 132–137 (Mi tvp2475)

This article is cited in 13 papers

Short Communications

Necessary and sufficient conditions for the functional central limit theorem for semimartingales

R. Š. Lipcer, A. N. Širyaev

Moscow

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

Received: 17.09.1980


 English version:
Theory of Probability and its Applications, 1981, 26:1, 130–135

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