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FROM RANDOM WALKS TO ROUGH PATHS
EMMANUEL BREUILLARD, PETER FRIZ and MARTIN HUESMANN
Proceedings of the American Mathematical Society
Vol. 137, No. 10 (OCTOBER 2009), pp. 3487-3496
Published by: American Mathematical Society
Stable URL: http://www.jstor.org/stable/40590579
Page Count: 10
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Donsker's invariance principle is shown to hold for random walks in rough path topology. As an application, we obtain Donsker-type weak limit theorems for stochastic integrals and differential equations.
Proceedings of the American Mathematical Society © 2009 American Mathematical Society