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On the behavior of the conditional expectations in skorohod representation theorem

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  • Crimaldi, Irene

Abstract

In this paper we deal with the Skorohod representation of a given system of probability measures. More precisely, we give conditions for the existence of a Skorohod representation (X,(Xn)) with the following additional property: for each real number p[greater-or-equal, slanted]1 and each real random variable Z in , the conditional expectation E[ZXn] converges in Lp to the conditional expectation E[ZX].

Suggested Citation

  • Crimaldi, Irene, 2004. "On the behavior of the conditional expectations in skorohod representation theorem," Statistics & Probability Letters, Elsevier, vol. 67(2), pages 141-148, April.
    • Handle: RePEc:eee:stapro:v:67:y:2004:i:2:p:141-148
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    References listed on IDEAS

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    1. Arcudi, Ornella, 2000. "On convergences of probability measures in different Prohorov-type metrics," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 365-369, February.
    2. Arcudi, Ornella, 1998. "Convergence of conditional expectations given the random variables of a Skorohod representation," Statistics & Probability Letters, Elsevier, vol. 40(1), pages 1-8, September.
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    Cited by:

    1. Hisatoshi Tanaka, 2020. "Differentiability of the Conditional Expectation," Working Papers 1920, Waseda University, Faculty of Political Science and Economics.

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    1. Arcudi, Ornella, 2000. "On convergences of probability measures in different Prohorov-type metrics," Statistics & Probability Letters, Elsevier, vol. 46(4), pages 365-369, February.

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