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
1430Keywords: Convergence in law,
TightnessNature: Original
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XIV: 27, 227-248, LNM 784 (1980)
JACOD, Jean;
MÉMIN, Jean
Sur la convergence des semimartingales vers un processus à accroissements indépendants (
General theory of processes,
Stochastic calculus,
Martingale theory)
A method of Kabanov, Liptzer and Shiryaev is adapted to study the convergence of a sequence of semimartingales to a process with independent increments (to be completed)
Keywords: Convergence in law,
TightnessNature: Original Retrieve article from Numdam
