Timeline for Quadratic variation for discrete Martingale
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Mar 1 at 17:22 | comment | added | Nate Eldredge | @JanStuller: Well, there's the Burkholder-Davis-Gundy inequality which implies that a sequence of (local) martingales converges uniformly in $L^p$ iff the quadratic variations converge in $L^{p/2}$. Not quite what you asked, but sort of in the same direction. I don't know off the top of my head about other results. | |
| Mar 1 at 17:13 | comment | added | Jan Stuller | Has the convergence of the quadratic variation of discrete processes to the quadratic variation of continuous processes been studied, with some well known results? Discrete martingales can converge in distribution to their continuous analogues, I wonder if some of the properties "converge" too, i.e. the quadratic variation. | |
| Oct 19, 2013 at 5:03 | vote | accept | Chandrasekhar | ||
| Oct 19, 2013 at 3:08 | history | answered | Nate Eldredge | CC BY-SA 3.0 |