On the convergence of stochastic integrals with respect to \(p\)-semimartingales (Q951213)
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scientific article; zbMATH DE number 5358990
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| English | On the convergence of stochastic integrals with respect to \(p\)-semimartingales |
scientific article; zbMATH DE number 5358990 |
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On the convergence of stochastic integrals with respect to \(p\)-semimartingales (English)
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30 October 2008
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The paper considers a new class of processes which is wider than the semimartingale class and contains the fractional Brownian motion. This new class is denoted as the class of \(p\)-semimartingales and it is constructed as the set of processes that can be written as the sum of a bounded \(p\)-variation process and a martingale. The sufficient conditions for the weal convergence of stochastic integrals with respect to \(p\)-semimartingales has been obtained. These conditions can be simplified if the integrating process is pathwise constant.
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fractional Brownian motion
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\(p\)-martingales
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stochastic integration
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0.8061742782592773
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0.7892963290214539
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0.7850662469863892
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0.7823340892791748
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