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Continuous Ocone Martingales as Weak Limits of Rescaled Martingales


 
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1. Title Title of document Continuous Ocone Martingales as Weak Limits of Rescaled Martingales
 
2. Creator Author's name, affiliation, country Harry van Zanten; Vrije Universiteit Amsterdam
 
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4. Description Abstract Consider a martingale $M$ with bounded jumps and two sequences $a_n, b_n \to \infty$. We show that if the rescaled martingales $$ M^n_t =\frac{1}{\sqrt{a_n}}M_{b_n t}$$ converge weakly, then the limit is necessarily a continous Ocone martingale. Necessary and sufficient conditions for the weak convergence of the rescaled martingales are also given.
 
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7. Date (YYYY-MM-DD) 2002-11-28
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1062
 
10. Identifier Digital Object Identifier 10.1214/ECP.v7-1062
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 7
 
12. Language English=en
 
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