Stability of Doob-Meyer decomposition under extended convergence

DOI10.1007/s10255-003-0094-2zbMath1052.60022OpenAlexW2032918352WikidataQ126265311 ScholiaQ126265311MaRDI QIDQ1879125

Jean Mémin

Publication date: 22 September 2004

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-003-0094-2

zbMATH Keywords

Skorokhod topologyextended convergenceweak convergence of filtrationsspecial semimartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) General theory of stochastic processes (60G07) Functional limit theorems; invariance principles (60F17)

Related Items (7)

Convergence of BS\(\operatorname{\Delta}\)Es driven by random walks to BSDEs: the case of (in)finite activity jumps with general driver ⋮ A weak version of path-dependent functional Itô calculus ⋮ Stability of backward stochastic differential equations: the general Lipschitz case ⋮ All adapted topologies are equal ⋮ Stability results for martingale representations: The general case ⋮ PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING ⋮ Estimating processes in adapted Wasserstein distance

Cites Work

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• Sur l'approximation des réduites. (On the approximation of residues)
• Extended convergence to continuous in probability processes with independent increments
• Convergence en loi des suites d'integrales stochastiques sur l'espace \({\mathbb{D}}^ 1\) de Skorokhod. (Convergence in law of sequences of stochastic integrals on the Skorokhod space \({\mathbb{D}}^ 1)\)
• Weak limit theorems for stochastic integrals and stochastic differential equations
• On the robustness of backward stochastic differential equations.
• Convergence in distribution and Skorokhod convergence for the general theory of processes

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