On a Non-Classical Invariance Principle：在一个非经典的不变性原理.pdfVIP

On a Non-Classical Invariance Principle Youri DAVYDOV 1 and Vladimir ROTAR 2 1 ´ Laboratoire Paul Painleve - UMR 8524 ´ Universite de Lille I - Bat. M2 59655 Villeneuve d’Ascq, France Email: youri.davydov@univ-lille1.fr 2 Department of Mathematics and Statistics of the San Diego State University, USA and the Central Economics and Mathematics Institute of the Russian Academy of Sciences, RF Email: vrotar@math.ucsd.edu Abstract. We consider the invariance principle without the classi- cal condition of asymptotic negligibility of individual terms. More precisely, let r.v.’s ξn j and ηn j be such that E ξn j E ηn j 0 E ξ2 E η2 σ2 ∑ σ2 1 n j n j n j n j j and the r.v.’s ηn j are normal. We set k k k S ξn j Y ηn j t σ2 kn ∑ kn ∑ kn ∑ n j j 1 j 1 j 1 Let X t and Y t be continuous piecewise linear (or polygonal) ran- n n dom functions with vertices at tkn Skn and tkn Zkn , respectively, and let Pn and Qn be the respective distributions of the processes Xn t and Y t in 0 1. n The goal of the present paper is to establish necessary and sufficient conditions for convergence of Pn Qn to zero measure not invo