Event Detail

Event Type: 
Probability Seminar
Date/Time: 
Thursday, March 13, 2008 - 07:00
Location: 
Kidder 364

Speaker Info

Abstract: 

The primary purpose of this presentation is to establish functional central limit theorem for skew random walks and to define skew Brownian motion as resulting weak limit. Since the skew random walk is just a symmetric random walk when away form the origin, the right scaling of space and time will be the same as in the functional central limit theorem for Brownian motion. Finally, we will show that skew Brownian motion is the weak limit of skew random walk proving the convergence of finite-dimentional distributions and tightness.