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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zbMATH Keywords

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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Identifiers

zbMATH Open document ID

0584.60060

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DOI

10.1016/0304-4149(85)90016-X

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1069555

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+Rolando Rebolledo Berroeta
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+Remigijus Mikulevičius
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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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