Timeline for Skorohod theorem (weak convergence) on a discrete setting
Current License: CC BY-SA 3.0
18 events
| when toggle format | what | by | license | comment | |
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| Jun 15, 2020 at 7:27 | history | edited | CommunityBot |
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| S Feb 19, 2014 at 18:46 | history | bounty ended | CommunityBot | ||
| S Feb 19, 2014 at 18:46 | history | notice removed | CommunityBot | ||
| Feb 17, 2014 at 18:41 | comment | added | John Jiang | I suggest asking Prof. Darrell Duffie about this. He is very good at mathematical rigor in finance. | |
| Feb 14, 2014 at 14:35 | history | edited | hulik | CC BY-SA 3.0 |
edited title
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| S Feb 11, 2014 at 17:15 | history | bounty started | hulik | ||
| S Feb 11, 2014 at 17:15 | history | notice added | hulik | Draw attention | |
| Feb 10, 2014 at 20:36 | history | edited | hulik | CC BY-SA 3.0 |
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| Feb 10, 2014 at 12:36 | comment | added | hulik | @NateEldredge Thanks for you comment. I edited my question. I was also trying to prove uniform integrability. All we know is $\lim_{A\to\infty}\sup_{n}E_{Q_n}E[S_k\mathbf1_{Sk>A}]=0$ for all $k=0,…,N−1$. This is stated in the same proof before equation (3.17). But this estimate is used to prove tightness of the $\{Q_n\}$ | |
| S Feb 10, 2014 at 12:10 | history | suggested | Davide Giraudo | CC BY-SA 3.0 |
improved formatting, edited title.
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| Feb 10, 2014 at 12:09 | review | Suggested edits | |||
| S Feb 10, 2014 at 12:10 | |||||
| Feb 10, 2014 at 8:56 | history | edited | hulik | CC BY-SA 3.0 |
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| Feb 10, 2014 at 8:34 | history | edited | hulik | CC BY-SA 3.0 |
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| S Feb 10, 2014 at 3:14 | history | suggested | gaoxinge | CC BY-SA 3.0 |
more clear
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| Feb 10, 2014 at 3:01 | review | Suggested edits | |||
| S Feb 10, 2014 at 3:14 | |||||
| Feb 9, 2014 at 23:35 | comment | added | Nate Eldredge | Something doesn't seem to be right with your definition of $\mathcal{W}_n$. Anyway, it seems to me that we are supposed to show the uniform integrability (under $P$) of $\{g(S_N(X_n))\}$, which since it is just a statement about their distributions, would follow from the uniform integrability under $Q_n$ of $g(S_N)$. It's sufficient to find a uniform bound on their $L^r$ norms for some $r > 1$, but I don't quite see how to get that from the given conditions. If we had something like $|g(x)| \le C(1+x^{p-\epsilon})$ I think it would work. | |
| Feb 9, 2014 at 16:22 | review | First posts | |||
| Feb 9, 2014 at 16:33 | |||||
| Feb 9, 2014 at 16:05 | history | asked | hulik | CC BY-SA 3.0 |