Stability in D of martingales and backward equations under discretization of filtration

Stochastic Processes and their Applications

Volumn 75, Issue 2, 1998, Pages 235-248

  Coquet, François ^a   MacKevičius, Vigirdas ^b   Mémin, Jean ^a  

^a UNIVERSITÉ DE RENNES 1   (France)

^b VILNIUS UNIVERSITY   (Lithuania)

Author keywords

Backward equations; Convergence in law; Martingales; Skorokhod topology

Indexed keywords

EID: 0040094088     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(98)00013-1     Document Type: Article

References (7)

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2. Antonelli, F., Kohatsu-Higa, A., 1997. Filtration stability of backward SDE's. Stochastic Anal. Appl., to appear.
3. Jacod, J., Shiryaev, A.N., 1987. Limit Theorems for Stochastic Processes. Springer, Berlin.
4. 1 de Skorokhod Probab. Theor. Related Fields. 81:1989;111-137.
5. Kurtz T.G., Protter P. Weak limits for stochastic integrals and stochastic differential equations. Ann. Probab. 19(3):1991;1035-1070.
6. Meyer P.A., Zheng W.A. Tightness criteria for laws of semimartingales. Ann. Inst. Henri Poincaré, Sect. B. 20:1984;353-372.
7. Stricker, C., 1985. Lois de Semimartingales et Critères de Compacitè, Lecture Notes in Mathematics, vol. 1123, Séminaire de Probabilités XIX, pp. 209-217.