Convergence in various topologies for stochastic integrals driven by semimartingales

DOI10.1214/AOP/1041903222zbMATH Open0871.60028OpenAlexW2003482203MaRDI QIDQ674524FDOQ674524

Authors: Adam Jakubowski 

Publication date: 24 September 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1041903222

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zbMATH Keywords

semimartingalestochastic integralsSkorokhod topologyfunctional convergenceSkorokhod convergence

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Functional limit theorems; invariance principles (60F17) Stochastic integrals (60H05)

Cites Work

• 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
• Weak convergence of sums of moving averages in the \(\alpha\)-stable domain of attraction
• Title not available (Why is that?)
• Tightness criteria for laws of semimartingales
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• Stability of strong solutions of stochastic differential equations
• Random time changes and convergence in distribution under the Meyer-Zheng conditions
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• A Criterion for Weak Convergence of Measures with an Application to Convergence of Measures on $D[0, 1]$.
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Cited In (18)

• On the convergence of stochastic integrals driven by processes converging on account of a homogenization property
• Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
• 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 \({\mathbb{D}}^ 1)\)
• Title not available (Why is that?)
• On optimal control of forward-backward stochastic differential equations
• Title not available (Why is that?)
• Non-stationary autoregressive processes with infinite variance
• New characterizations of the \(S\) topology on the Skorokhod space
• Weak convergence to stochastic integrals for econometric applications
• Non-standard Skorokhod convergence of Lévy-driven convolution integrals in Hilbert spaces
• Marked empirical processes for non-stationary time series
• Penalization methods for the Skorokhod problem and reflecting SDEs with jumps
• On optimal control of coupled mean-field forward-backward stochastic equations
• Semilinear elliptic equations with Dirichlet operator and singular nonlinearities
• Weak convergence of stochastic integrals with respect to semimartingales
• A growth-fragmentation model related to Ornstein-Uhlenbeck type processes
• Existence of optimal controls for systems driven by FBSDEs
• Title not available (Why is that?)

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