VAGUE CONVERGENCE OF LOCALLY INTEGRABLE MARTINGALE MEASURES

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:52

Article

XIE, YC

关键词: THE CHARACTERISTICS OF MARTINGALE MEASURE;    MARTINGALE MEASURE;    VAGUE CONVERGENCE;   

DOI  :  10.1016/0304-4149(94)90025-6

来源: Elsevier

【 摘 要 】

In this paper, we introduce the concept of the vague convergence of locally integrable martingale measures in distribution, which is an organic combination of the vague convergence of Radon measures and the weak convergence of martingales in distribution. The conditions are provided for vague convergence of martingale measures. We also study the convergence of stochastic integrale with respect to martingale measures in distribution.

【 授权许可】

Free