0
votes
0answers
45 views

Is it possible to define a mixed normal having conditional variance almost everywhere null?

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 ...
3
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1answer
130 views

Does martingale convergence hold for arbitrary time?

Let $\{\mathcal B_i:i\in I\}$ be a family of $\sigma$-algebras (over the same set $\Omega$) which are totally ordered by inclusion, in the sense that for any $i,j\in I$ either $\mathcal ...