On Tightness of the Skew Random Walks

Youngsoo Seol

Journal of Probability and Statistics, 2012, vol. 2012, 1-7

Abstract:

The primary purpose of this paper is to prove a tightness of ð ›¼ -skew random walks. The tightness result implies, in particular, that the ð ›¼ -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.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:371025

DOI: 10.1155/2012/371025

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