On the Skorokhod Representation Approch to Martingale Invariance Principles
Open Access
- 1 April 1979
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 7 (2) , 371-376
- https://doi.org/10.1214/aop/1176995094
Abstract
The Skorokhod representation method of proving martingale invariance principles has received only limited attention. This paper shows it to be a very powerful tool. We use the representation to obtain sufficient conditions for a sequence of random functions to be tight, and to give a direct proof of an invariance principle.Keywords
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