Invariance principle for integral type functionals

Functional limit theorems; invariance principles (60F17) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with discrete parameter (60G42)

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Let \(\{X_{nj}\), n,j\(\geq 1\}\) be an array of random variables, and let \(\{\tau_ n(t):\) \(0\leq t\leq 1\}\) be a sequence of stochastic processes that are nondecreasing, having left limits and are right continuous. Suppose f, \(f_ n\), \(n\geq 1\), are functions defined on [0,\(\infty)\times (-\infty,\infty)\), and define \[ Z_ n(t)=\sum_{i\leq \tau_ n(t)}f_ n(V^ 2_{n,i-1},S_{n,i-1})X_{ni},\quad Z(t)=\int^{t}_{0}f(s,W(s))dW(s), \] \(0\leq t\leq 1\), where \(S_{ni}=\sum^{i}_{k=1}X_{nk}\), \(V^ 2_{ni}=\sum^{i}_{k=1}X^ 2_{nk}\), \(S_{n0}=0\), \(V^ 2_{n0}=0\), and \(\{\) W(t), \(0\leq t\leq 1\}\) is a standard Wiener process on the space D[0,1]. The author presents sufficient conditions which ensure the weak convergence in the space D[0,1] of \(\{Z_ n(t)\), \(0\leq t\leq 1\}\) to \(\{\) Z(t), \(0\leq t\leq 1\}\) as \(n\to \infty\).

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