Connection between discrete time random walks and stochastic processes by Donsker's Theorem

University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

Abstract: In this paper we will investigate the connection between a random walk and a continuous time stochastic process. Donsker's Theorem states that a random walk under certain conditions will converge to a Wiener process. We will provide a detailed proof of this theorem which will be used to prove that a geometric random walk converges to a geometric Brownian motion.

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