An invariance principle for Azéma martingales

Nathanaël Enriquez

Annales de l'I.H.P. Probabilités et statistiques (2007)

  • Volume: 43, Issue: 6, page 717-727
  • ISSN: 0246-0203

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Enriquez, Nathanaël. "An invariance principle for Azéma martingales." Annales de l'I.H.P. Probabilités et statistiques 43.6 (2007): 717-727. <http://eudml.org/doc/77952>.

@article{Enriquez2007,
author = {Enriquez, Nathanaël},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {invariance principle; Azéma martingales; structure equations},
language = {eng},
number = {6},
pages = {717-727},
publisher = {Elsevier},
title = {An invariance principle for Azéma martingales},
url = {http://eudml.org/doc/77952},
volume = {43},
year = {2007},
}

TY - JOUR
AU - Enriquez, Nathanaël
TI - An invariance principle for Azéma martingales
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2007
PB - Elsevier
VL - 43
IS - 6
SP - 717
EP - 727
LA - eng
KW - invariance principle; Azéma martingales; structure equations
UR - http://eudml.org/doc/77952
ER -

References

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  1. [1] J. Azéma, Sur les fermés aléatoires, in: Séminaire de Probabilités, XIX, 1983/84, Lecture Notes in Math., vol. 1123, Springer, Berlin, 1985, pp. 397-495. Zbl0563.60038MR889496
  2. [2] J. Azéma, M. Yor, Étude d'une martingale remarquable, in: Séminaire de Probabilités, XXIII, Lecture Notes in Math., vol. 1372, Springer, Berlin, 1989, pp. 88-130. Zbl0743.60045MR1022900
  3. [3] E.B. Dynkin, Some limit theorems for sums of independent random variables with infinite mathematical expectations, in: Select. Transl. Math. Statist. and Probability, vol. 1, Inst. Math. Statist. and Amer. Math. Soc., Providence, RI, 1961, pp. 171-189. Zbl0112.10105MR116376
  4. [4] M. Emery, On the Azéma martingales, in: Séminaire de Probabilités, XXIII, Lecture Notes in Math., vol. 1372, Springer, Berlin, 1989, pp. 66-87. Zbl0753.60045MR1022899
  5. [5] M. Emery, Sur les martingales d'Azéma (suite), in: Séminaire de Probabilités, XXIV, 1988/89, Lecture Notes in Math., vol. 1426, Springer, Berlin, 1990, pp. 442-447. Zbl0712.60048MR1071559
  6. [6] W. Feller, An Introduction to Probability Theory and Its Applications, vol. II, second ed., John Wiley & Sons, New York, 1971. Zbl0219.60003MR270403
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  8. [8] T. Kurtz, P. Protter, Weak limit theorems for stochastic integrals and stochastic differential equations, Ann. Probab.19 (3) (1991) 1035-1070. Zbl0742.60053MR1112406
  9. [9] R. Mansuy, M. Yor, Random times and enlargements of filtrations in a Brownian setting, Lecture Notes in Math., vol. 1873, Springer-Verlag, 2005. Zbl1103.60003MR2200733
  10. [10] P.-A. Meyer, Eléments de probabilités quantiques. I–V, in: Séminaire de Probabilités, XX, 1984/85, Lecture Notes in Math., vol. 1204, Springer, Berlin, 1986, pp. 186-312. Zbl0604.60001
  11. [11] P.-A. Meyer, Construction de solutions d'équations de structure, in: Séminaire de Probabilités, XXIII, Lecture Notes in Math., vol. 1372, Springer, Berlin, 1989, pp. 142-145. Zbl0739.60050MR1022903
  12. [12] A. Phan, Martingales d'Azéma asymétriques. Description élémentaire et unicité, in: Séminaire de Probabilités, XXXV, Lecture Notes in Math., vol. 1755, Springer, Berlin, 2001, pp. 48-86. Zbl0982.60035MR1837276
  13. [13] P. Protter, Stochastic Integration and Differential Equations, Stochastic Modelling and Applied Probability, vol. 21, second ed., Springer-Verlag, Berlin, 2004. Zbl1041.60005MR2020294
  14. [14] R. Rebolledo, La méthode des martingales appliquée à l'étude de la convergence en loi de processus, Bull. Soc. Math. France Mém.62 (1979), v+125 pp. Zbl0425.60036MR568153
  15. [15] M. Yor, Some Aspects of Brownian Motion. Part II. Some Recent Martingale Problems, Lectures in Mathematics ETH Zürich, Birkhäuser, Basel, 1997, xii+144 pp. Zbl0880.60082MR1442263

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