肖小庆, 谢颖超. 半鞅序列积分误差的极限过程的收敛定理[J]. 应用概率统计, 2008, 24(6): 561-573.
引用本文: 肖小庆, 谢颖超. 半鞅序列积分误差的极限过程的收敛定理[J]. 应用概率统计, 2008, 24(6): 561-573.
Xiao Xiaoqing, Xie Yingchao. Convergence Theorems of the Limit Processes of Integrated Errors of Semimartingale Sequence[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 561-573.
Citation: Xiao Xiaoqing, Xie Yingchao. Convergence Theorems of the Limit Processes of Integrated Errors of Semimartingale Sequence[J]. Chinese Journal of Applied Probability and Statistics, 2008, 24(6): 561-573.

半鞅序列积分误差的极限过程的收敛定理

Convergence Theorems of the Limit Processes of Integrated Errors of Semimartingale Sequence

  • 摘要: Jacod, Jakubowski和M\'emin讨论了与单个独立增量过程X的误差过程^n\!X =X_t-X_nt/n相关的积分误差过程Y^n(X)和Z^n,p(X), 研究了半鞅序列\(nY^n(X),nZ^n,p(X))\_n\ge 1的极限定理. 记半鞅序列\(nY^n(X),nZ^n,p(X))\_n\ge1的极限过程为(Y(X),Z^p(X)), Jacod等给出了其极限过程(Y(X), Z^p(X))的表达式. 本文将研究半鞅序列\X^n\_n\ge1积分误差的极限过程Y(X^n)和Z^p(X^n)的收敛定理, 主要研究半鞅序列\(X^n,Y(X^n),Z^p(X^n))\_n\ge1的依分布弱收敛和依分布稳定收敛.

     

    Abstract: Jacod, Jakubowski and M\'emin studied the integrated error processes Y^n(X) and Z^n,p(X) which relates to the error process ^n\!X_t=X_t-X_nt/n for semimartingale X with independent increments. And they also investigated the limit theorems for the semimartingale sequence \(Y(X^n),Z^p(X^n))\_n\ge 1. If denote the limit points of \(Y(X^n),Z^p(X^n))\_n\ge 1 by (Y(X),Z^p(X)), Jacod et al. gave the formula of (Y(X),Z^p(X)). In this paper, we will investigate the convergence theorems of Y(X^n) and Z^p(X^n) for semimartingale sequence \X^n\_n\ge 1. We study mainly the convergence in law and the stable convergence in law of \(X^n,Y(X^n),Z^p(X^n))\_n\ge 1.

     

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