Convergence of local supermartingales
Larsson, M. & Ruf, J.
(2020).
Convergence of local supermartingales.
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques,
56(4), 2774 - 2791.
https://doi.org/10.1214/20-AIHP1058
(2020).
Convergence of local supermartingales.
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques,
56(4), 2774 - 2791.
https://doi.org/10.1214/20-AIHP1058
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.