On Convergence to Stochastic Integrals
Probability
2010-08-03 v3
Abstract
Weak convergence of various general functionals of partial sums of dependent random variables to stochastic integral now play a major role in the modern statistics theory. In this paper, we obtain the weak convergence of various general functionals of partial sums of casual process by means of the method which was introduced in Jacod and Shiryaev (2003).
Cite
@article{arxiv.1006.4693,
title = {On Convergence to Stochastic Integrals},
author = {Zheng-Yan Lin and Han-Chao Wang},
journal= {arXiv preprint arXiv:1006.4693},
year = {2010}
}
Comments
20pages