Weak convergence of semimartingales and discretisation methods

DOI10.1016/0304-4149(85)90016-XzbMath0584.60060OpenAlexW2011841246MaRDI QIDQ1069555

Eckhard Platen, Rolando Rebolledo Berroeta

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90016-x

zbMATH Keywords

weak convergence of discrete time approximation schemesweak convergence of special semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Convergence of probability measures (60B10)

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Cites Work

• Calcul stochastique et problèmes de martingales
• Probability methods for approximations in stochastic control and for elliptic equations
• Approximations for functionals and optimal control problems on jump diffusion processes
• Stopping times and tightness
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