From random walks to rough paths
Probability
2008-10-16 v1
Abstract
Donsker's invariance principle is shown to hold for random walks in rough path topology. As application, we obtain Donsker-type weak limit theorems for stochastic integrals and differential equations.
Cite
@article{arxiv.0810.2681,
title = {From random walks to rough paths},
author = {Emmanuel Breuillard and Peter Friz and Martin Huesmann},
journal= {arXiv preprint arXiv:0810.2681},
year = {2008}
}