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arXiv · 2003.06026

Convergence of Local Supermartingales

Martin Larsson·Johannes Ruf
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Abstract

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.

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Martin Larsson, Johannes Ruf. 2020-03-12. Convergence of Local Supermartingales. https://arxiv.org/abs/2003.06026

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