Vague convergence of locally integrable martingale measures

Yingchao Xie

Stochastic Processes and their Applications, 1994, vol. 52, issue 2, 211-227

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.

Keywords: The; characteristics; of; martingale; measure; Martingale; measure; Vague; convergence (search for similar items in EconPapers)
Date: 1994
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