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From random walks to rough paths
Author(s):
Emmanuel
Breuillard;
Peter
Friz;
Martin
Huesmann
Journal:
Proc. Amer. Math. Soc.
137
(2009),
3487-3496.
MSC (2000):
Primary 60B15
Posted:
May 20, 2009
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Abstract:
Donsker's invariance principle is shown to hold for random walks in rough path topology. As an application, we obtain Donsker-type weak limit theorems for stochastic integrals and differential equations.
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Additional Information:
Emmanuel
Breuillard
Affiliation:
Laboratoire de Mathematiques, Universite Paris 11, 91405 Orsay, France
Peter
Friz
Affiliation:
Department of Pure Mathematics and Mathematical Statistics, University of Cambridge, Cambridge CB3 0WB, United Kingdom
Email:
P.K.Friz@statslab.cam.ac.uk
Martin
Huesmann
Affiliation:
Mathematisches Institut, Universität Bonn, Endenicher Allee 60, D-53115 Bonn, Germany
DOI:
10.1090/S0002-9939-09-09930-4
PII:
S 0002-9939(09)09930-4
Keywords:
Donskers's theorem,
rough paths
Received by editor(s):
October 16, 2008
Posted:
May 20, 2009
Communicated by:
Peter A. Clarkson
Copyright of article:
Copyright
2009,
American Mathematical Society
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