Convergence of Local Supermartingales
Probability
2020-03-16 v1
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.
Keywords
Cite
@article{arxiv.2003.06026,
title = {Convergence of Local Supermartingales},
author = {Martin Larsson and Johannes Ruf},
journal= {arXiv preprint arXiv:2003.06026},
year = {2020}
}
Comments
Annales de l'Institut Henri Poincar\'e (B) Probabilit\'es et Statistiques, forthcoming, 2020; This paper was part of arXiv:1411.6229