I'm trying to proving the stable limit of a martingale M_n(t). When I calculate the limit in probability of its quadratic variation, I find that it is always null except for a point.
It seems to me that the classical hypotheses necessary to prove the stable convergence of the limit towards a mixing normal drop down.
Does somebody know some references that could help me to figure this problems out? What kind of limit process should I expect to find?
Thank you for any kind of suggestions!!!