Diffusion approximations for random walks on nilpotent Lie groups

Lucia Caramellino, Adriana Climescu-Haulica and Barbara Pacchiarotti

Statistics & Probability Letters, 1999, vol. 41, issue 4, 363-377

Abstract: We prove a central limit theorem for products of centered i.i.d. r.v.'s taking values on nilpotent, graded, simply connected Lie groups. The main tool is given by weak approximation results for SDEs.

Keywords: Diffusion approximations of Markov chains Donsker's invariance principle Nilpotent; simply connected Lie groups (search for similar items in EconPapers)
Date: 1999
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