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Central limit theorem from the Skorokhod embedding
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Probability and statistics
Probability theory
Martingale
Stopping time
Skorokhod embedding theorem
Skorokhod embedding of a centered random walk
2026-09-28
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The
law
of
large numbers
gives
T
n
/
n
→
σ
2
. Brownian maximal estimates then show
n
B
T
n
−
B
n
σ
2
⟶
0
(1)
in
probability
. Since
B
n
σ
2
/
n
∼
N
(
0
,
σ
2
)
, the embedded
random walk
satisfies the
central limit theorem
.
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Skorokhod embedding of a centered random walk
Skorokhod embedding theorem
Stopping time
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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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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