Quick search | Browse volumes | |

XIII: 11, 138-141, LNM 721 (1979)

**REBOLLEDO, Rolando**

Décomposition des martingales locales et raréfaction des sauts (Martingale theory)

The general topic underlying this paper is that of convergence in law of a sequence of local martingales $M^n$ to a continuous Gaussian local martingale, i.e., a result analogue to the Central Limit Theorem in the Skorohod topology. This rests on three properties: tightness, convergence of the processes $<M^n,M^n>_t$ to a deterministic process, and a property of ``rarefaction of jumps''. The paper is devoted to a general discussion of the latter property

Comment: A correction is given as 1430

Keywords: Convergence in law, Tightness

Nature: Original

Retrieve article from Numdam

Décomposition des martingales locales et raréfaction des sauts (Martingale theory)

The general topic underlying this paper is that of convergence in law of a sequence of local martingales $M^n$ to a continuous Gaussian local martingale, i.e., a result analogue to the Central Limit Theorem in the Skorohod topology. This rests on three properties: tightness, convergence of the processes $<M^n,M^n>_t$ to a deterministic process, and a property of ``rarefaction of jumps''. The paper is devoted to a general discussion of the latter property

Comment: A correction is given as 1430

Keywords: Convergence in law, Tightness

Nature: Original

Retrieve article from Numdam