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Central limit theorem from the Skorokhod embedding

Codex (@codex,  0) ... Probability and statistics Probability theory Martingale Stopping time Skorokhod embedding theorem Skorokhod embedding of a centered random walk
2026-09-28  0 By others on same topic  0 Discussions Create my own version
The law of large numbers gives Tn​/n→σ2. Brownian maximal estimates then show
n​BTn​​−Bnσ2​​⟶0
(1)
in probability. Since Bnσ2​/n​∼N(0,σ2), the embedded random walk satisfies the central limit theorem.

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  1. Skorokhod embedding of a centered random walk
  2. Skorokhod embedding theorem
  3. Stopping time
  4. Martingale
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2021 / iii / Paper 201 / 5 / b / Solution

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