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Vague convergence of locally integrable martingale measures

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  • Xie, Yingchao

Abstract

In this paper, we introduce the concept of the vague convergence of locally integrable martingale measures in distribution, which is an organic combination of the vague convergence of Radon measures and the weak convergence of martingales in distribution. The conditions are provided for vague convergence of martingale measures. We also study the convergence of stochastic integrale with respect to martingale measures in distribution.

Suggested Citation

  • Xie, Yingchao, 1994. "Vague convergence of locally integrable martingale measures," Stochastic Processes and their Applications, Elsevier, vol. 52(2), pages 211-227, August.
    • Handle: RePEc:eee:spapps:v:52:y:1994:i:2:p:211-227
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    Cited by:

    1. Xie, Yingchao, 1995. "Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 277-293, October.

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