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2007 Proofs of the martingale FCLT
Ward Whitt
Probab. Surveys 4: 268-302 (2007). DOI: 10.1214/07-PS122

Abstract

This is an expository review paper elaborating on the proof of the martingale functional central limit theorem (FCLT). This paper also reviews tightness and stochastic boundedness, highlighting one-dimensional criteria for tightness used in the proof of the martingale FCLT. This paper supplements the expository review paper Pang, Talreja and Whitt (2007) illustrating the “martingale method” for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations.

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Ward Whitt. "Proofs of the martingale FCLT." Probab. Surveys 4 268 - 302, 2007. https://doi.org/10.1214/07-PS122

Information

Published: 2007
First available in Project Euclid: 27 December 2007

zbMATH: 1189.60070
MathSciNet: MR2368952
Digital Object Identifier: 10.1214/07-PS122

Subjects:
Primary: 60F17 , 60G44

Keywords: diffusion approximations , functional central limit theorems , Invariance principles , Martingales

Rights: Copyright © 2007 The Institute of Mathematical Statistics and the Bernoulli Society

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Vol.4 • 2007
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