VAGUE CONVERGENCE OF LOCALLY INTEGRABLE MARTINGALE MEASURES

Authors
XIE YC
Citation
Yc. Xie, VAGUE CONVERGENCE OF LOCALLY INTEGRABLE MARTINGALE MEASURES, Stochastic processes and their applications, 52(2), 1994, pp. 211-227
Citations number
10
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
52
Issue
2
Year of publication
1994
Pages
211 - 227
Database
ISI
SICI code
0304-4149(1994)52:2<211:VCOLIM>2.0.ZU;2-V
Abstract
In this paper, we introduce the concept of the vague convergence of lo cally integrable martingale measures in distribution, which is an orga nic combination of the vague convergence of Radon measures and the wea k convergence of martingales in distribution. The conditions are provi ded for vague convergence of martingale measures. We also study the co nvergence of stochastic integrale with respect to martingale measures in distribution.