Proofs of the martingale FCLT
Probability
2007-12-27 v2
Abstract
This is an expository review paper elaborating on the proof of the martingale functional central limit theorem (FCLT). This paper also reviews tightness and stochastic boundedness, highlighting one-dimensional criteria for tightness used in the proof of the martingale FCLT. This paper supplements the expository review paper Pang, Talreja and Whitt (2007) illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations.
Keywords
Cite
@article{arxiv.0712.1929,
title = {Proofs of the martingale FCLT},
author = {Ward Whitt},
journal= {arXiv preprint arXiv:0712.1929},
year = {2007}
}
Comments
Published in at http://dx.doi.org/10.1214/07-PS122 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)