On the Semimartingale Convergence Theorem
Johansen, S. ; Karush, J.
Ann. Math. Statist., Tome 37 (1966) no. 6, p. 690-694 / Harvested from Project Euclid
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This paper consists of three parts: first a new simple proof of the semimartingale theorem of Doob is given, next the limit function is identified as the derivative of a certain $\sigma$-additive set function. Finally it is shown how the approach of Sparre-Andersen and Jessen can be generalized to give the convergence and the identification of the limit function for a semimartingale.
Publié le : 1966-06-14
Classification:  
@article{1177699463,
     author = {Johansen, S. and Karush, J.},
     title = {On the Semimartingale Convergence Theorem},
     journal = {Ann. Math. Statist.},
     volume = {37},
     number = {6},
     year = {1966},
     pages = { 690-694},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177699463}
}

Johansen, S.; Karush, J. On the Semimartingale Convergence Theorem. Ann. Math. Statist., Tome 37 (1966) no. 6, pp.  690-694. http://gdmltest.u-ga.fr/item/1177699463/