Martingale difference arrays and stochastic integrals

DOI10.1007/BF00343897zbMath0575.60043MaRDI QIDQ1064610

Helmut Strasser

Publication date: 1986

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

weak convergence; functional limit theorem; diffusion approximations; martingale difference arrays; stopped partial sum processes

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

60H05: Stochastic integrals

60F17: Functional limit theorems; invariance principles

Related Items

Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\), Estimation of the variances in the branching process with immigration, On random walks with jumps scaled by cumulative sums of random variables, WEAK CONVERGENCE TO STOCHASTIC INTEGRALS FOR ECONOMETRIC APPLICATIONS, A Note on Estimation of Parameters for Branching Processes with Immigration, Asymptotic inference results for multivariate long‐memory processes

Cites Work

• On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
• On the functional central limit theorem for martingales
• On the functional central limit theorem for martingales, II
• Convergence of critical Galton-Watson branching processes
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