On Tightness of the Skew Random Walks
The primary purpose of this paper is to prove a tightness of 𝛼-skew random walks. The tightness result implies, in particular, that the 𝛼-skew Brownian motion can be constructed as the scaling limit of such random walks. Our proof of tightness is based on a fourth-order moment method.
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2012-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2012/371025 |
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| Summary: | The primary purpose of this paper is to prove a tightness of 𝛼-skew random walks. The tightness result implies, in particular, that the 𝛼-skew Brownian motion can be constructed as the scaling limit of such random walks. Our proof of tightness is based on a fourth-order moment method. |
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| ISSN: | 1687-952X 1687-9538 |