Tightness criteria for laws of semimartingales. (English) Zbl 0551.60046

Meyer, P. A.; Zheng, W. A.

Ann. Inst. Henri Poincaré, Probab. Stat. 20, 353-372 (1984).

Authors’ abstract: When the space of cadlag trajectories is endowed with the topology of convergence in measure (much weaker that Skorohod’s topology), very convenient criteria of compactness are obtained for bounded sets of laws of quasimartingales and semi-martingales. Stability of various classes of processes for that type of convergence is also studied.

Reviewer: C.S.Chou

MSC:

60G44

Martingales with continuous parameter

Keywords:

cadlag trajectories; criteria of compactness