Weak convergence of semimartingales and discretisation methods (Q1069555): Difference between revisions

Sufficient conditions for weak convergence of special semimartingales are obtained. They are expressed in terms of predictable global characteristics. As an example, weak convergence of discrete time approximation schemes is considered.

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Mathematics Subject Classification ID

60G48

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weak convergence of special semimartingales

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weak convergence of discrete time approximation schemes

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reviewed by

Remigijus Mikulevičius

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MaRDI profile type

MaRDI publication profile

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cites work

Stopping times and tightness

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Q5560061

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Q4189915

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Q3948390

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Calcul stochastique et problèmes de martingales

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Probability methods for approximations in stochastic control and for elliptic equations

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Approximations for functionals and optimal control problems on jump diffusion processes

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full work available at URL

https://doi.org/10.1016/0304-4149(85)90016-x

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OpenAlex ID

W2011841246

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Sitelinks

Mathematics(1 entry)

mardi Publication:1069555

@@ Property / author @@
+Rolando Rebolledo Berroeta
@@ Property / author: Rolando Rebolledo Berroeta / rank @@
+Normal rank
@@ Property / reviewed by @@
+Remigijus Mikulevičius
@@ Property / reviewed by: Remigijus Mikulevičius / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Stopping times and tightness
@@ Property / cites work: Stopping times and tightness / rank @@
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@@ Property / cites work @@
+Q5560061
@@ Property / cites work: Q5560061 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4189915
@@ Property / cites work: Q4189915 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3948390
@@ Property / cites work: Q3948390 / rank @@
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Probability methods for approximations in stochastic control and for elliptic equations
+Normal rank
@@ Property / cites work @@
+Approximations for functionals and optimal control problems on jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Q4078863
@@ Property / cites work: Q4078863 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3917262
@@ Property / cites work: Q3917262 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3860571
@@ Property / cites work: Q3860571 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3875025
@@ Property / cites work: Q3875025 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3862204
@@ Property / cites work: Q3862204 / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/0304-4149(85)90016-x
+Normal rank
@@ Property / OpenAlex ID @@
+W2011841246
@@ Property / OpenAlex ID: W2011841246 / rank @@
+Normal rank