Infinitesimal behaviour of a continuous local martingale
[For the entire collection see Zbl 0754.00008.] The author considers continuous vector valued local martingales \({\mathbf M}_ t\) which have the property that, for components \(M^ i\) and \(M^ j\), one has \(\lim_{t\to 0}{1\over t}\langle M^ i,M^ j\rangle_ t=a_{i,j}\), \(a_{i,j}\) being the entry \((i,j)\) of the positive definite matrix \(A\). The author proves that the process \({\mathbf M}_{st}/\sqrt{t}\) converges in law to \(\sqrt{A}{\mathbf W}_ s\), as \(t\to 0\), \({\mathbf W}\) being a standard Wiener process. The result is then applied to Markov processes \(X\), \(M\) being a martingale of the form \(f(X_ t)- f(x)-\int_ 0^ t Af(X_ s)ds\), and \(A\) being the infinitesimal generator of the process.
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- scientific article; zbMATH DE number 4188896
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