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Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures

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  • Xie, Yingchao

Abstract

In this paper, we study tight criteria of càdlàg Hilbert valued processes and prove the tightness of Hilbert valued square integrable martingales and Hilbert valued semimartingales by using their characteristics. These extend appropriate results of Jacod and Shiryaev (1987). We also discuss the property of Hilbert valued martingale measure and introduce the concept of convergence of martingale measures in distribution. The sufficient and necessary conditions are provided for strongly orthogonal martingale measures with independent increments. The conditions are given for convergence of martingale measures.

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  • Xie, Yingchao, 1995. "Limit theorems of Hilbert valued semimartingales and Hilbert valued martingale measures," Stochastic Processes and their Applications, Elsevier, vol. 59(2), pages 277-293, October.
    • Handle: RePEc:eee:spapps:v:59:y:1995:i:2:p:277-293
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    1. Xie, Yingchao, 1994. "Vague convergence of locally integrable martingale measures," Stochastic Processes and their Applications, Elsevier, vol. 52(2), pages 211-227, August.
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    Cited by:

    1. Delgado, Miguel A. & Song, Xiaojun, 2018. "Nonparametric tests for conditional symmetry," Journal of Econometrics, Elsevier, vol. 206(2), pages 447-471.
    2. David Criens, 2020. "Limit Theorems for Cylindrical Martingale Problems Associated with Lévy Generators," Journal of Theoretical Probability, Springer, vol. 33(2), pages 866-905, June.
    3. Kundu, Subrata & Majumdar, Suman & Mukherjee, Kanchan, 2000. "Central Limit Theorems revisited," Statistics & Probability Letters, Elsevier, vol. 47(3), pages 265-275, April.

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