Fréchet differentiability, \(p\)-variation and uniform Donsker classes (Q1203663)

Let \({\mathcal F}_{p,M}\) be a class of uniformly bounded (by constant \(M)\) \(p\)-variation functions on \(R\) \((0<p<2)\). It is shown that \({\mathcal F}_{p,M}\) is the universal and dominated uniform Donsker class of functions, i.e. for \(p\)-variate norms the uniform CLT for empirical measures still holds. This result is applied to the bilinear function \((F,G)\to\int FdG\), where \(\int FdG\) is the L. C. Young integral. The Fréchet differentiability of this integral is proved.