Convergence of conditional expectations given the random variables of a Skorohod representation

DOI10.1016/S0167-7152(98)00060-1MaRDI QIDQ1807913zbMATH OpenFDO

Authors Ornella Arcudi

Publication date 18 March 2001

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(98)00060-1

zbMATH Keywords

conditional expectationSkorokhod representationweak convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10)

Review text

It is shown that under some technical condition on probability distributions \(P_n\Rightarrow P\) the Skorokhod representations \(X_n, X\) have the following interesting property: For any \(L^2\) random variable \(Z\) on \([0,1]\) the conditional expectations \(E(Z\mid {\mathcal F}^{X_n})\) converge in \(L^2\) to \(E(Z\mid {\mathcal F}^X)\). The proof is carried out by a detailed analysis of Billingsley's original proof of the Skorokhod representation together with martingale convergence arguments and estimates of conditional expectations in terms of sub-sigma-algebras. In an example it is shown that some additional condition is necessary for the main theorem to hold.

Recommendations

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Cites work

• Convergence in distribution of conditional expectations
• scientific article; zbMATH DE number 3426516 (Why is no real title available?)
• scientific article; zbMATH DE number 4060392 (Why is no real title available?)
• Uniform inequalities for conditional expectations

Cited in

(4)

• On the behavior of the conditional expectations in Skorohod representation theorem
• On convergences of probability measures in different Prohorov-type metrics
• Convergence in distribution and Skorokhod convergence for the general theory of processes
• Towards a simultaneous Skorohod theorem

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