Past exam of the mathematics course of the University of Cambridge 2002 iii Paper 27 5 b Solution Created 2026-10-03 Updated 2026-10-14
We prove fourth-moment tightness of polygonal random walks uniformly, including intervals shorter than a mesh cell or crossing a mesh boundary. For , let be the length of the overlap of with . The interpolated increment isPut . Expanding the fourth power and using centered independent steps, only the terms with four equal indices or two equal pairs survive. ConsequentlyIf , the last correction is nonpositive. If , use . In either case the expression is at most . Since ,Also and the paths are continuous. The stated tightness criterion applies with , and the displayed constant, so the laws are tight on with its uniform topology. Part (a) established all the Brownian finite-dimensional distribution limits. The supplied implication from tightness plus those limits now yields the Donsker invariance principle:where is Wiener measure. No estimate restricted to grid endpoints would suffice by itself for the printed uniform criterion; the overlap coefficients handle every pair of times.