Stability in of martingales and backward equations under discretization of filtration

We consider a càdlàg process the filtration generated by Y and generated by step processes Yn defined from Y by discretization in time. We study the stability in (with Skorokhod topology) of -martingales and of -solutions of related backward equations, when Yn-->Y. We get this stability (in law) when Y is Markov and (in probability) under stronger assumptions on the coefficients of equations.

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Year of publication:	1998
Authors:	Coquet, François ; Mackevicius, Vigirdas ; Mémin, Jean
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 75.1998, 2, p. 235-248
Publisher:	Elsevier
Keywords:	Martingales Backward equations Skorokhod topology Convergence in law

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874336