Proofs of the martingale FCLT

Abstract

This is an expository review paper elaborating on the proof of the martingale functional central limit theorem (FCLT). This paper also reviews tightness and stochastic boundedness, highlighting one-dimensional criteria for tightness used in the proof of the martingale FCLT. This paper supplements the expository review paper Pang, Talreja and Whitt (2007) illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations.

arXiv commentPublished in at http://dx.doi.org/10.1214/07-PS122 the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)

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