2009/08/13 by Andriy Yurachkivsky, Yurachkivsky, Andriy
Mathematics · #60F17 #60G44 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60F17 #msc:60G44
paper · pdf · doi:10.48550/arxiv.0908.1939
This paper has been withdrawn by the author, because the characterization theorem is incorrect (though the author results sustain with minor changes)
arxiv created 2011/02/16 · arxiv updated 2011/02/17
The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function is determined by the distribution of the quadratic characteristic. Functional limit theorem based on this characterization are proved.