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Fatou limits of stochastic integrals

Probability 2025-03-11 v1 Functional Analysis

Abstract

The convergence of stochastic integrals is essential to stochastic analysis, especially in applications to mathematical finance, where they model the gains associated with a self-financing strategy. However, Fatou convergence of (Xn)n=1(X^{n})_{n=1}^{\infty} \unicodex2014\unicode{x2014}a notion introduced for its amenability to compactness principles\unicodex2014\unicode{x2014}implies little about the sequence of It\^o integrals (0YdXn)n=1\left(\int_{0}^{\cdot}YdX^{n}\right)_{n=1}^{\infty} for a fixed integrand YY. Under a boundedness condition, we find convex combinations (X~n)n=1(\widetilde{X}^{n})_{n=1}^{\infty} of (Xn)n=1(X^{n})_{n=1}^{\infty} with Fatou limit X~\widetilde{X}, such that (0YdX~n)n=1\left(\int_{0}^{\cdot}Yd\widetilde{X}^{n}\right)_{n=1}^{\infty} converges in a Fatou-like sense to 0YdX~\int_{0}^{\cdot}Yd\widetilde{X} for all continuous semimartingales YY. The result is sharp, in the sense that continuity of YY cannot be relaxed to being the left limits process of a semimartingale.

Keywords

Cite

@article{arxiv.2503.06350,
  title  = {Fatou limits of stochastic integrals},
  author = {Vasily Melnikov},
  journal= {arXiv preprint arXiv:2503.06350},
  year   = {2025}
}
R2 v1 2026-06-28T22:12:25.206Z