scientific article; zbMATH DE number 18817

MaRDI QIDQ3976231zbMATH OpenFDO

Authors Ion Grama

Publication date 26 June 1992

zbMATH Keywords

functional central limit theoremlocal characteristicsProkhorov distancerate of convergencesemimartingaleSkorokhod space

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48)

Review text

[For the entire collection see Zbl 0732.00014.] Let \(X=(X_ s)_{0 \leq s < \infty}\) be a semimartingale and \((W_ s)_{0 \leq s < \infty}\) be a Wiener process. For each fixed \(t>0\) let \(\pi_ t\) denote the Prokhorov distance of the distributions of the processes \((X_ s)_{0 \leq s \leq t}\) and \((W_ s)_{0 \leq s \leq t}\) on the Skorokhod space \(D([0,1])\). The paper contains bounds on \(\pi_ t\) in terms of the local characteristics of \(X\).

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