This paper establishes a functional central limit theorem for Lie groups under a mixing hypothesis. The main theorem generalizes results by Patrick Billingsley for Euclidean space and the author for the general linear group.
Publié le : 1989-07-14
Classification:
Functional central limit theorem,
invariance principle in distribution,
Lie groups,
mixing,
martingale problem,
60B15,
60F05,
60F17,
60J30,
60G10
@article{1176991265,
author = {Watkins, Joseph C.},
title = {Donsker's Invariance Principle for Lie Groups},
journal = {Ann. Probab.},
volume = {17},
number = {4},
year = {1989},
pages = { 1220-1242},
language = {en},
url = {http://dml.mathdoc.fr/item/1176991265}
}
Watkins, Joseph C. Donsker's Invariance Principle for Lie Groups. Ann. Probab., Tome 17 (1989) no. 4, pp. 1220-1242. http://gdmltest.u-ga.fr/item/1176991265/