Stable convergence of semimartingales (Q762829): Difference between revisions

The condition under which a sequence of semimartingales converges to a process with conditionally independent increments is considered. This condition is a modification of the known nesting condition on the sequence of histories of semimartingales [see, for example, \textit{P. Hall} and \textit{C. C. Heyde}, Martingale limit theory and its application (1980; Zbl 0462.60045)]. The author is interested in the condition under which this convergence is stable in the sense of \textit{D. J. Aldous} and \textit{G. K. Eagleson}, Ann. Probab. 6, 325-331 (1978; Zbl 0376.60026).