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On the convergence of stochastic integrals with respect to p-semimartingales

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  • Kubilius, K.

Abstract

The sufficient conditions for the weak convergence of stochastic integrals with respect to p-semimartingales have been obtained. These conditions were simplified when the integrating process is pathwise constant.

Suggested Citation

  • Kubilius, K., 2008. "On the convergence of stochastic integrals with respect to p-semimartingales," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2528-2535, October.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:15:p:2528-2535
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    References listed on IDEAS

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    1. Tommi Sottinen, 2001. "Fractional Brownian motion, random walks and binary market models," Finance and Stochastics, Springer, vol. 5(3), pages 343-355.
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    1. Falkowski, Adrian & Słomiński, Leszek, 2017. "SDEs with constraints driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3536-3557.
    2. Falkowski, Adrian & Słomiński, Leszek, 2022. "SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 164-186.

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