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Proceedings of the American Mathematical Society

Published by the American Mathematical Society, the Proceedings of the American Mathematical Society (PROC) is devoted to research articles of the highest quality in all areas of pure and applied mathematics.

ISSN 1088-6826 (online) ISSN 0002-9939 (print)

The 2020 MCQ for Proceedings of the American Mathematical Society is 0.85.

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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.
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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