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Suppose Lévy processes $X^n$ converge to $X$ in probability at every fixed time, andThen $X$ starts at zero, has independent increments and stationary increments, and has stochastic continuity. Finite increment vectors inherit their independent laws by convergence in distribution; the near-zero estimate supplies continuity at zero. Hence $X$ has a càdlàg modification that is a Lévy process. The hypotheses alone cannot assert that the original version has càdlàg paths.

If $X_n\stackrel{d}{\to }c$ for fixed real $c$, convergence of the distribution functions at $c-\epsilon$ and $c+\epsilon$ shows $\mathbb{P}(|X_n-c|>\epsilon )\to 0$. Thus convergence in distribution to a deterministic limit implies convergence in probability to that limit, even though the implication fails for nonconstant limits on a specified probability space.

Every non-degenerate limit in convergence in distribution of positively scaled and centered sample maxima is a max-stable distribution. Up to positive affine transformations its law is the Gumbel distribution, a Fréchet distribution with positive shape parameter, or a negative Weibull distribution with positive shape parameter. This classifies possible limits, without asserting that every distribution function admits a limiting normalization.

For the Gamma distribution with fixed positive integer shape $m$ and rate one, the survival function is $e^{-t}{\sum }_{j=0}^{m-1}{t}^j/j!$. Its sample maximum centered by $\log n+(m-1)\log \log n-\log ((m-1)!)$ has convergence in distribution to the standard Gumbel distribution, without an additional scale factor.

If the characteristic functions ${\phi }_n$ of probability distributions ${\mu }_n$ converge pointwise to a function $\phi$ that is continuous at zero, then $\phi$ is a characteristic function and ${\mu }_n$ converges in distribution to its distribution. Conversely, convergence in distribution implies pointwise convergence of the characteristic functions.

A distribution function $F$ lies in the maximum domain of attraction of $G$ if $F(a_{n}x+b_n{)}^n\to G(x)$ at every continuity point of $G$ for some $a_n>0$ and real $b_n$. This expresses convergence in distribution of normalized sample maxima.

A map $\Phi :S_D\to \mathbb{R}$ is Hadamard differentiable at $s_0$ if there is a continuous linear functional ${\dot{\Phi }}_{s_0}:S\to \mathbb{R}$ such that, whenever $t_j\to 0$ with $t_j\ne 0$, $a_j\to a$ in $S$, and $s_0+t_j{a}_j\in S_D$,For tangential Hadamard differentiability, the limit directions $a$ are restricted to a specified tangent subspace and the derivative is continuous linear on that subspace. The domain condition is indispensable.

Assume $X_n\in S_D$ almost surely and use the usual measurable, separably supported setting for norm-valued convergence in distribution, with the limit in the tangent space. The functional delta method givesTo justify this by Skorokhod representation theorem, a sufficient precise version is: for weakly convergent random elements in a separable complete metric space, one can construct copies of the whole sequence and its limit on one probability space which converge almost surely in the metric. More generally the separable-limit-support version of the representation theorem can be used. Apply it to $Z_n=r_n(X_n-s_0)$, obtaining ${\tilde{Z}}_n\to \tilde{X}$ almost surely. The variables $s_0+r_n^{-1}{\tilde{Z}}_n$ have the same laws as $X_n$ and lie in $S_D$ on a common probability-one event. The definition of Hadamard differentiability, with $t_n=1/r_n$, gives convergence almost surely of the transformed quotients to ${\dot{\Phi }}_{s_0}(\tilde{X})$, and hence the claimed convergence in distribution. If $X$ is a Gaussian measure, the limit is Gaussian because the derivative is linear. Without membership of $X_n$ in $S_D$, the expression $\Phi (X_n)$ in the question is not defined.

The final function space is $C_b(\mathbb{R})$ with supremum norm; it is not separable as a whole. This does not affect the deterministic differentiability proof below. Any statistical application of the preceding representation argument must use its separability or tightness hypotheses, rather than assuming that every normed space automatically satisfies them.

Fix admissible $F,G$ and set $T(F,G)={\int }_0^{u}G(x)F^{\prime }(x)dx$. The candidate derivative, defined even for continuous directions $a,b$ without derivatives, isThis follows formally from the product rule and integration by parts. We now establish the uniform-direction limit required by Hadamard differentiability.

Let $F_j=F+t_j{a}_j$ and $G_j=G+t_j{b}_j$ belong to the stated domain, with $a_j\to a$, $b_j\to b$ in supremum norm. The domain gives $\int |F_j^{\prime }|\le 1$ and $\int |F^{\prime }|\le 1$, while $F_j\to F$ uniformly. We first claim that, for every continuous $b$ on $[0,u]$,For a continuously differentiable test function $v$, integration by parts gives convergence directly from uniform convergence of $F_j$: both boundary terms and $\int v^{\prime }{F}_j$ converge. By the Weierstrass approximation theorem, approximate $b$ uniformly on $[0,u]$ by a polynomial $v$. The difference between the two integrals introduced by this approximation is at most $2\Vert b-v{\Vert }_{\infty }$, by the uniform bounded variation bounds. Letting the approximation error decrease proves the claim. This is weak convergence of bounded-variation integrators.

Now decompose the quotient in the order that retains the bounded-variation bound:The first term differs from $\int b{F}_j^{\prime }$ by at most $\Vert b_j-b{\Vert }_{\infty }$, so it tends to $\int b{F}^{\prime }$. For the second term, integration by parts yieldswhich tends to the corresponding expression with $a$. Hence the quotient tends to ${\dot{T}}_{F,G}(a,b)$ for every admissible perturbation sequence. Finally,This proves that the derivative is a continuous linear functional on the product space. Therefore $T$ is Hadamard differentiable at every point of the stated domain. The bounded-variation restriction is what controls the apparently dangerous interaction between uniformly small perturbations and possibly large perturbation derivatives; no convergence of $a_j^{\prime }$ or $b_j^{\prime }$ has been assumed.