Invariance principle for integral type functionals of square-integrable martingales

DOI10.1016/0304-4149(87)90017-2zbMath0622.60039OpenAlexW1967509581MaRDI QIDQ1091030

I. Szyszkowski

Publication date: 1987

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(87)90017-2

zbMATH Keywords

Doob-Meyer decompositioninvariance principledouble arrays of discrete-time martingalessquare-integrable martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17) Markov processes (60J99)

Related Items (1)

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cites Work

• Invariance principles for stochastic area and related stochastic integrals
• Invariance principle for integral type functionals
• A weak convergence theorem for functionals of sums of independent random variables
• Remarks on the functional central limit theorem for martingales
• On the functional central limit theorem for martingales, II
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