On the paper ``Weak convergence of some classes of martingales with jumps'' (Q2370101)

This note extends some results of \textit{Y. Nishiyama} [Ann. Probab. 28, 685--712 (2000; Zbl 1128.60305)]. A maximal inequality for stochastic integrals with respect to integer-valued random measures which may have infinitely many jumps on compact time intervals is given. By using it, a tightness criterion is obtained; if the so-called quadratic modulus is bounded in probability and if a certain entropy condition on the parameter space is satisfied, then the tightness follows. Our approach is based on the entropy techniques developed in the modern theory of empirical processes.