A functional limit theorem for irregular SDEs

DOI10.1214/16-AIHP760zbMath1372.60043arXiv1409.7940MaRDI QIDQ2403225

Stefan Ankirchner, Thomas Kruse, Mikhail A. Urusov

Publication date: 15 September 2017

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.7940

zbMATH Keywords

stochastic differential equationsfunctional limit theoremweak law of large numbersirregular diffusion coefficientSkorokhod embedding problemscaled random walk

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

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