A central limit theorem for some generalized martingale arrays

DOI10.1214/23-ECP534MaRDI QIDQ6138088zbMATH OpenOpenAlexWikidataFDO

Authors Luca Pratelli, Pietro Rigo

Publication date 5 September 2023

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/journals/electronic-communications-in-probability/volume-28/issue-none/A-central-limit-theorem-for-some-generalized-martingale-arrays/10.1214/23-ECP534.full

zbMATH Keywords

approximation of stochastic integralscentral limit theorem (CLT)martingaleRiemann sumstable convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Brownian motion (60J65)

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Cites work

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• Power variation and stochastic volatility: a review and some new results
• Quantitative stable limit theorems on the Wiener space
• Rate of convergence for the weighted Hermite variations of the fractional Brownian motion
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Cited in

(6)

• Martingale difference arrays and stochastic integrals
• On the Wasserstein distance for a martingale central limit theorem
• scientific article; zbMATH DE number 3942607 (Why is no real title available?)
• On conditions in central limit theorems for martingale difference arrays
• scientific article; zbMATH DE number 579145 (Why is no real title available?)
• scientific article; zbMATH DE number 1461870 (Why is no real title available?)

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