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arXiv · 0712.1929

Proofs of the martingale FCLT

Ward Whitt
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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.

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Ward Whitt. 2007-12-27. Proofs of the martingale FCLT. https://doi.org/10.1214/07-ps122

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