On tightness of the skew random walks

DOI10.1155/2012/371025zbMATH Open1259.60080OpenAlexW1982144578WikidataQ58910960 ScholiaQ58910960MaRDI QIDQ428332FDOQ428332

Authors Youngsoo Seol

Publication date 19 June 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.5042

zbMATH Keywords

scaling limit\(\alpha\)-skew random walksfourth-order moment method

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Sums of independent random variables; random walks (60G50) Functional limit theorems; invariance principles (60F17)

Abstract: The primary purpose of this article is to prove a tightness of skew random walks. The tightness result implies, in particular, that the skew Brownian motion can be constructed as the scaling limit of such random walks. Our proof of tightness is based on a fourth-order moment method.

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Cites work

• scientific article; zbMATH DE number 47283 (Why is no real title available?)
• A basic course in probability theory
• Brownian motions on a half line
• Limit Behavior of the "Horizontal-Vertical" Random Walk and Some Extensions of the Donsker-Prokhorov Invariance Principle
• Occupation and local times for skew Brownian motion with applications to dispersion across an interface
• On skew Brownian motion
• On the constructions of the skew Brownian motion
• Three-dimensional modeling of mass transfer in porous media using the mixed hybrid finite elements and the random-walk methods

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