Donsker's Theorem
Donsker's theorem (also known as Donsker's invariance principle, or the functional central limit theorem) is a functional extension of the central limit theorem.
Let be a sequence of independent and identically distributed random variables with and . We look at the random walk generated by the sequence
and interpolate linearly between the integer points, i.e.
DONSKER'S INVARIANCE PRINCIPLE
On the space of continuous functions on the unit interval with the metric induced by the sup-norm, the sequence converges in distribution to a standard Brownian motion .
Proof of Donsker's invariance principle
The following proof is taken from Mörters and Peres [MortersPeres2010], Theorem 5.22, pp. 131–133.
The idea of the proof is to construct the random variables on the same probability space as the Brownian motion in such a way that is with high probability close to a scaling of this Brownian motion.
Construction of stopping times
Using Skorokhod embedding, we define to be a stopping time with such that in distribution. By the strong Markov property,
is a Brownian motion and independent of and, in particular, of . Hence we can define a stopping time for the Brownian motion such that and in distribution. Then is a stopping time for the original Brownian motion with , such that is the second value in a random walk with increments given by the law of . We can proceed inductively to get a sequence such that is the embedded random walk, and .
How close and
To prove convergence in , we must control the sup-norm distance between the rescaled random walk and the Brownian scaling . Let be the event that there exists such that . We have to show that
Fix . By construction, is the straight line joining and on this interval. Hence if is more than away from , then at least one of the two endpoints or must also be more than away from .
As we obtain
Now we deal with the probabilities of events where differences are between the same processes. For given the event is contained in
Note that the probability of (1) does not depend on , because by the scaling property of Brownian motion the process is itself a standard Brownian motion on . Choosing small, we can make this probability as small as we wish, since Brownian motion is uniformly continuous on .
The convergence to
It remains to show that for arbitrary, fixed , the probability of (2) converges to zero as . To prove this we use that
This is Kolmogorov's law of large numbers for the sequence of independent identically distributed random variables with mean 1. Observe that for every sequence of reals one has
This is a matter of plain (deterministic) arithmetic and easily checked. Hence we have,
Now recall that and let . Then
and by (3) both summands converge to 0.
We have proved that probability of both events (1) and (2) converges to as which imply
Approximation random walk with Brownian Motion
Choose the sequence of stopping times as in previous subsection and recall from the scaling property of Brownian motion that the random functions given by are standard Brownian motions. Suppose that is closed subset of functions in and define new set
Then from triangle inequality
we obtain the inequality for probabilities
The first term does not depend on and is equal to for a Brownian motion . As is closed we have
Putting these facts together, we obtain , which is condition (ii) in the Portmanteau theorem. Hence Donsker's invariance principle is proved.
References
- [Donsker1951]Donsker, Monroe D. ``An invariance principle for certain probability limit theorems.'' Memoirs of the American Mathematical Society, no. 6, 1951.
- [MortersPeres2010]Mörters, Peter, and Yuval Peres. Brownian Motion. First edition. Cambridge University Press, 2010. PDF.