convergence of locally square integrable martingales to a continuous local martingale局部平方可积鞅的收敛连续局部鞅.pdfVIP

Hindawi Publishing Corporation Journal of Probability and Statistics Volume 2011, Article ID 580292, 34 pages doi:10.1155/2011/580292 Research Article Convergence of Locally Square Integrable Martingales to a Continuous Local Martingale Andriy Yurachkivsky Taras Shevchenko National University, 01601 Kyiv, Ukraine Correspondence should be addressed to Andriy Yurachkivsky, yap@univ.kiev.ua Received 24 May 2011; Accepted 3 October 2011 Academic Editor: Tomasz J. Kozubowski Copyright q 2011 Andriy Yurachkivsky. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. d Let for each n ∈ N Xn be an R -valued locally square integrable martingale w.r.t. a filtration Fn t, t ∈ R probability spaces may be different for different n. It is assumed that the disconti- nuities of X are in a sense asymptotically small as n → ∞ and the relation Ef zX t|F s − n n n P f zXn t → 0 holds for all t s 0, row vectors z, and bounded uniformly continuous fun- ctions f . Under these two principal assumptions and a number of technical ones, it is proved that the Xn ’s are asymptotically conditionally Gaussian processes with conditionally independent increments. If, moreover, the compound processes Xn 0, Xn converge in distribution to some ◦ X, H , then a sequence Xn converges in distribution to a continuous local martingale X with ini- ◦ tial value X and quadrat