Extended convergence to continuous in probability processes with independent increments

DOI10.1007/BF00343896zbMath0596.60038OpenAlexW2005462170MaRDI QIDQ1078908

Adam Jakubowski, Leszek Slominski

Publication date: 1986

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00343896

zbMATH Keywords

functional limit theoremssemimartingalesfunctional convergence of semimartingalesGaussian local martingaleJacod conditions

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17) Markov processes (60J99)

Related Items (5)

Stability of Doob-Meyer decomposition under extended convergence ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ Applications of weak convergence for hedging of game options ⋮ Stable limits for Markov chains via the principle of conditioning ⋮ Shortfall Risk Approximations for American Options in the Multidimensional Black-Scholes Model

Cites Work

• Calcul stochastique et problèmes de martingales
• Stopping times and tightness
• Processus à accroissements indépendants: Une condition nécessaire et suffisante de convergence en loi
• On a problem of necessary and sufficient conditions in the functional central limit theorem for local martingales
• On weak convergence to Brownian motion
• Weak convergence of probability measures and random functions in the function space D[0,∞)
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