The rate of convergence in the functional limit theorem for increments of a Brownian motion

Fuqing Gao and Qinghua Wang

Statistics & Probability Letters, 2005, vol. 73, issue 2, 165-177

Abstract: We obtain the rate of convergence of the functional limit for increments of a d-dimensional Brownian motion. As an application of the main result, we get a d-dimensional version of the result on the size of small increments of a Brownian motion.

Keywords: Brownian; motion; Functional; limit; Rate; of; convergence (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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