Stability in quadratic variation
Abstract
Consider a sequence of cadlag processes , and some fixed function . If is continuous then under several modes of convergence implies corresponding convergence of , due to continuous mapping. We study conditions (on , and ) under which convergence of implies . While interesting in its own right, this also directly relates (through integration by parts and the Kunita-Watanabe inequality) to convergence of integrators in the sense . We use two different types of quadratic variations, weak sense and strong sense which our two main results deal with. For weak sense quadratic variations we show stability when , are Dirichlet processes defined as in \cite{NonCont} , and is bounded in probability. For strong sense quadratic variations we are able to relax the conditions on to being the primitive function of a cadlag function but with the additional assumption on , that the continuous and discontinuous parts of are independent stochastic processes (this assumption is not imposed on however), and are Dirichlet processes with quadratic variations along any stopping time refining sequence. To prove the result regarding strong sense quadratic variation we prove a new It\^o decomposition for this setting.
Cite
@article{arxiv.2405.20839,
title = {Stability in quadratic variation},
author = {Philip Kennerberg and Magnus Wiktorsson},
journal= {arXiv preprint arXiv:2405.20839},
year = {2024}
}