From convergence of functions to convergence of stochastic processes. On Skorokhod's sequential approach to convergence in distribution (Q2726263)

The celebrated paper by \textit{A. V. Skorokhod} [Teor. Veroyatn. Primen. 1, 289-319 (1956; Zbl 0074.33802)] belongs to the special category of papers inspiriting research for dozens of years. One of the most brilliant original ideas contained in this paper was the construction of an almost surely convergence representation for sequences convergent in distribution, now known as the a.s. Skorokhod representation. Skorokhod's construction was extended by \textit{R. M. Dudley} [Ann. Math. Stat. 39, 1563-1572 (1968; Zbl 0169.20602)] to separable metric spaces. \textit{M. J. Wichura} [ibid. 41, 284-291 (1970; Zbl 0218.60005)] and \textit{P. J. Fernandez} [Bol. Soc. Bras. Mat. 5, No. 1, 51-61 (1974; Zbl 0344.60007)] proved the existence of a Skorokhod-like representation in non-separable metric spaces, for limits with separable range. NEWLINENEWLINENEWLINEIn this paper a new topology is defined on the space \(P(X)\) of tight probability distributions on a topological space \((X, \tau).\) The only topological assumption imposed on \((X, \tau)\) is that some countable family of continuous functions separates points of \(X.\) This new sequential topology, defined by means of a variant of the a.s. Skorokhod representation, is quite operational and from the point of view of nonmetric spaces proved to be more satisfactory than the weak topology. The topology coincides with the usual topology of weak convergence when \((X, \tau)\) is a metric space or a space of distributions (like \(S'\) or \(D'\)).NEWLINENEWLINEFor the entire collection see [Zbl 0956.00022].