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Results tagged with random-walks
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user 76764
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1
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multi-time limit of a maximum of random walks
Suppose one has $N$ iid random walks $X^{(1)}_t,\ldots,X^{(N)}_t$ in discrete or continuous time $t$, let us say for example Poisson jump processes, and consider the stochastic process $Y^{(N)}_t = \t …
- 568
2
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1
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590
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Reference request: Donsker's theorem for non-identical, independent random variables
The central limit theorem can be generalized to independent but not iid random variables, provided they satisfy the Lyapunov condition (which looks something like a variance bound), see https://en.wik …
- 568