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

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Abstract

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:	https://projecteuclid.org/euclid.aihp
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
URI:	http://eprints.lse.ac.uk/id/eprint/103740

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