Convergence of Local Supermartingales

2020/03/12 by Larsson, Martin, Ruf, Johannes
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2003.06026

Abstract

We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of stationarily local integrability plays a key role.

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