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Convergence of local supermartingales

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

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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
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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: 24 Nov 2023 07:54

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