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On the asymptotic behaviour of functionals of some semimartingales

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  • Ouknine, Y.

Abstract

In this paper, we are interested in the asymptotic behaviour of a class of semimartingales. The results cover the special case of semimartingales which are solutions of stochastic differential equations studied recently by Sundar (1990) and Rutkowski (1992). In particular, the results in Rutkowski (1992) are still valids without the (LT) therein.

Suggested Citation

  • Ouknine, Y., 1992. "On the asymptotic behaviour of functionals of some semimartingales," Statistics & Probability Letters, Elsevier, vol. 15(5), pages 403-405, December.
    • Handle: RePEc:eee:stapro:v:15:y:1992:i:5:p:403-405
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    Keywords

    Semimartingales local time;

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