Convergence of local supermartingales

Larsson, Martin; and Ruf, JohannesORCID logo (2020) Convergence of local supermartingales Annales de l'Institut Henri Poincaré, Probabilités et Statistiques, 56 (4). 2774 - 2791. ISSN 0246-0203
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We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of stationarily local integrability plays a key role.
Item Type Article
Keywords supermartingale convergence,stationary localization
Departments Mathematics
DOI 10.1214/20-AIHP1058
Date Deposited 11 Mar 2020 15:00
URI https://researchonline.lse.ac.uk/id/eprint/103740

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