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Central limit theorem and increment conditions
Affiliation:The Ohio State University, Columbus, OH 43210-1399, USA
Abstract:Let φ be a convex function defined on R+, with φ(0) = 0 and limx→0φ(x)/x=0. We show that there exists a uniformly bounded process (Xt) on [0,1] with continuous sample paths that satisfies the increment condition for every u < t, E(φ(| XtXu|)) ⩽ tu. but that fails the CLT.
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