From random walks to rough paths
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- by Emmanuel Breuillard, Peter Friz and Martin Huesmann PDF
- Proc. Amer. Math. Soc. 137 (2009), 3487-3496 Request permission
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.References
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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
- MR Author ID: 656436
- Email: P.K.Friz@statslab.cam.ac.uk
- Martin Huesmann
- Affiliation: Mathematisches Institut, Universität Bonn, Endenicher Allee 60, D-53115 Bonn, Germany
- Received by editor(s): October 16, 2008
- Published electronically: May 20, 2009
- Communicated by: Peter A. Clarkson
- © Copyright 2009 American Mathematical Society
- Journal: Proc. Amer. Math. Soc. 137 (2009), 3487-3496
- MSC (2000): Primary 60B15
- DOI: https://doi.org/10.1090/S0002-9939-09-09930-4
- MathSciNet review: 2515418