Convergence of Locally Square Integrable Martingales to a Continuous Local Martingale英文文献资料.docVIP

HindawiPublishingCorporation JournalofProbabilityandStatistics Volume2011,ArticleID580292,34pages doi:10.1155/2011/580292 ResearchArticle ConvergenceofLocallySquareIntegrable Martingales toaContinuous LocalMartingale AndriyYurachkivsky TarasShevchenko NationalUniversity,01601Kyiv,Ukraine Correspondence shouldbeaddressedtoAndriyYurachkivsky,yap@univ.kiev.ua Received24May2011;Accepted 3October2011 Academic Editor:TomaszJ.Kozubowski Copyright q2011AndriyYurachkivsky. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction inanymedium,providedtheoriginalworkisproperlycited. Let for each n ∈ NXn be an Rd-valued locally square integrable martingale w.r.t. a ?ltration F t, t∈R probabilityspacesmaybedi?erentfordi?erentn.Itisassumedthatthedisconti- n  nuitiesofX areinasenseasymptotically smallasn → ∞andtherelationEfzX t|F s? n n n P fzXnt → 0holds forallt s 0,rowvectors z,andbounded uniformly continuous fun- ctions f. Under these two principal assumptions and a number of technical ones, it is proved thattheXn’sareasymptotically conditionally Gaussian processeswithconditionally independent increments. If,moreover,thecompound processes Xn0,Xnconverge indistribution tosome ? X,H,thenasequenceXnconvergesindistributiontoacontinuouslocalmartingaleXwithini- tialvalue X? and quadratic characteristic H,whose ?nite-dimensional distributions areexplicitly expressedviathoseofX,? H. 1.Introduction Thetheoryoffunctionallimittheoremsformartingalesmayappear?nalizedinthemono- graphs1,2 .Thispaperfocusesattwopoints,wheretheclassicalresultscanbere?ned. 1 The convergence in distribution to a local martingale with G-conditional in- crementshasbeenstudiedhithertointhemodel,wheretheσ-algebraG entersthesetting along with the prelimit processes. This assumption is worse than restrictive—it is simply unnaturalwhenonestudiestheconvergencein