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

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.

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Year of publication:	2005
Authors:	Gao, Fuqing ; Wang, Qinghua
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 73.2005, 2, p. 165-177
Publisher:	Elsevier
Keywords:	Brownian motion Functional limit Rate of convergence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005223822