Library Header Image
LSE Research Online LSE Library Services

Convergence of local supermartingales

Larsson, Martin and Ruf, Johannes ORCID: 0000-0003-3616-2194 (2020) Convergence of local supermartingales. Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 56 (4). 2774 - 2791. ISSN 0246-0203

[img] Text (ConvSupermgs) - Accepted Version
Download (363kB)

Identification Number: 10.1214/20-AIHP1058


We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of stationarily local integrability plays a key role.

Item Type: Article
Official URL:
Additional Information: © 2020 Association des Publications de l’Institut Henri Poincaré
Divisions: Mathematics
Subjects: Q Science > QA Mathematics
Date Deposited: 11 Mar 2020 15:00
Last Modified: 18 Mar 2024 04:39

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics