Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments (Q1058223)
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English | Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments |
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Necessary and sufficient conditions for the convergence of semimartingales to processes with conditionally independent increments (English)
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1984
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A notion of stably weak convergence different from the one considered by \textit{D. Aldous} [Weak convergence of stochastic processes for processes viewed in the Strasbourg manner. Preprint (1978)] and \textit{I. S. Helland} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 52, 251-265 (1980; Zbl 0411.60037)] is introduced. The main result states necessary and sufficient conditions in terms of predictable characteristics for stably weak convergence of a sequence of semimartingales to the quasi-left continuous process with conditionally independent increments.
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stably weak convergence
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semimartingales
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conditionally independent increments
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