A Characterization Theorem for the Distribution of a Continuous Local Martingale and Related Limit Theorems
Probability
2011-02-17 v3
Abstract
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.
Keywords
Cite
@article{arxiv.0908.1939,
title = {A Characterization Theorem for the Distribution of a Continuous Local Martingale and Related Limit Theorems},
author = {Andriy Yurachkivsky},
journal= {arXiv preprint arXiv:0908.1939},
year = {2011}
}
Comments
This paper has been withdrawn by the author, because the characterization theorem is incorrect (though the author results sustain with minor changes)