Stability in of martingales and backward equations under discretization of filtration

François Coquet, Vigirdas Mackevicius and Jean Mémin

Stochastic Processes and their Applications, 1998, vol. 75, issue 2, 235-248

Abstract: We consider a càdlàg process the filtration generated by Y and generated by step processes Yn defined from Y by discretization in time. We study the stability in (with Skorokhod topology) of -martingales and of -solutions of related backward equations, when Yn-->Y. We get this stability (in law) when Y is Markov and (in probability) under stronger assumptions on the coefficients of equations.

Keywords: Martingales; Backward; equations; Skorokhod; topology; Convergence; in; law (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (4)

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