Another approach to Brownian motion

Magda Peligrad; Sergey Utev

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Another approach to Brownian motion

Magda Peligrad·Sergey Utev

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Abstract

Braverman, Mallows and Shepp (1995), showed that if the absolute moments of partial sums of i.i.d. symmetric variables are equal to those of normal variables, then the marginals have normal distribution. This fact suggested the conjecture that probably the absolute moments alone characterize the homogeneous process with independent increments. In this paper we prove a more general result that gives a positive answer to this conjecture, and then apply it in order to obtain the CLT for a class of dependent random variables under a normalization involving the absolute moments of partial sums.

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BibTeX RIS

Magda Peligrad, Sergey Utev. 2005-10-24. Another approach to Brownian motion. https://arxiv.org/abs/math/0510513

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