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arXiv · 0908.1939

A Characterization Theorem for the Distribution of a Continuous Local Martingale and Related Limit Theorems

Andriy Yurachkivsky
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Abstract

The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function is determined by the distribution of the quadratic characteristic. Functional limit theorem based on this characterization are proved.

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BibTeXRIS

Andriy Yurachkivsky. 2009-08-13. A Characterization Theorem for the Distribution of a Continuous Local Martingale and Related Limit Theorems. https://arxiv.org/abs/0908.1939

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