English

Stability in quadratic variation

Probability 2024-06-03 v1

Abstract

Consider a sequence of cadlag processes {Xn}n\{X^n\}_n, and some fixed function ff. If ff is continuous then under several modes of convergence XnXX^n\to X implies corresponding convergence of f(Xn)f(X)f(X^n)\to f(X), due to continuous mapping. We study conditions (on ff, {Xn}n\{X^n\}_n and XX) under which convergence of XnXX^n\to X implies [f(Xn)f(X)]0\left[f(X^n)-f(X)\right]\to 0. 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 0tYsdf(Xsn)0tYsdf(Xs)\int_0^t Y_{s-}df(X^n_s)\to\int_0^t Y_{s-}df(X_s). 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 fC1f\in C^1, {Xn}n,X\{X^n\}_n,X are Dirichlet processes defined as in \cite{NonCont} Xna.s.XX^n\xrightarrow{a.s.}X, [XnX]a.s.0[X^n-X]\xrightarrow{a.s.}0 and {(Xn)t}n\{(X^n)^*_t\}_n is bounded in probability. For strong sense quadratic variations we are able to relax the conditions on ff to being the primitive function of a cadlag function but with the additional assumption on XX, that the continuous and discontinuous parts of XX are independent stochastic processes (this assumption is not imposed on {Xn}n\{X^n\}_n however), and {Xn}n,X\{X^n\}_n,X 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.

Keywords

Cite

@article{arxiv.2405.20839,
  title  = {Stability in quadratic variation},
  author = {Philip Kennerberg and Magnus Wiktorsson},
  journal= {arXiv preprint arXiv:2405.20839},
  year   = {2024}
}
R2 v1 2026-06-28T16:48:27.172Z