On tightness of the skew random walks
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Publication:428332
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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