On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\) (Q1083112)

The weak convergence of certain functionals of a sequence of stochastic processes is investigated. The functionals under consideration are of the form \(f_{\phi}(x)=\int \phi (t,x(t))\mu (dt)\). The main result is as follows: If a sequence \(\{\xi_ n:\) \(n\in {\mathbb{N}}\}\) is weakly tight in a certain sense, and, in addition, the finite dimensional distributions of the processes converge weakly, then this implies weak convergence of the functionals \((f_{\phi_ 1}(\xi_ n),...,f_{\phi_ m}(\xi_ n))\) to \((f_{\phi_ 1}(\xi_ 0),...,f_{\phi_ m}(\xi_ 0)).\) Necessary and sufficient conditions for weak tightness are stated and applications of the results to the case of \(L^ E_ p\)-valued stochastic processes are given. In particular it is shown that the usual tightness condition for weak convergence of such processes can be considerably weakened.