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Martingale approximations for continuous-time and discrete-time stationary Markov processes

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  • Holzmann, Hajo

Abstract

We show that the method of Kipnis and Varadhan [Comm. Math. Phys. 104 (1986) 1-19] to construct a Martingale approximation to an additive functional of a stationary ergodic Markov process via the resolvent is universal in the sense that a martingale approximation exists if and only if the resolvent representation converges. A sufficient condition for the existence of a martingale approximation is also given. As examples we discuss moving average processes and processes with normal generator.

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  • Holzmann, Hajo, 2005. "Martingale approximations for continuous-time and discrete-time stationary Markov processes," Stochastic Processes and their Applications, Elsevier, vol. 115(9), pages 1518-1529, September.
    • Handle: RePEc:eee:spapps:v:115:y:2005:i:9:p:1518-1529
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    References listed on IDEAS

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    1. Woodroofe, Michael, 1992. "A central limit theorem for functions of a Markov chain with applications to shifts," Stochastic Processes and their Applications, Elsevier, vol. 41(1), pages 33-44, May.
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    Cited by:

    1. Komorowski, Tomasz & Walczuk, Anna, 2012. "Central limit theorem for Markov processes with spectral gap in the Wasserstein metric," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2155-2184.

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