From random walks to rough paths

Details From random walks to rough paths From random walks to rough paths

2008-10-15

arxiv.org/abs/0810.2681v1

Mathematics

Probability

Scientific paper

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.

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