V. V. Lavrentyev, A. L. Bugrimov, “Compactness conditions for a family of measures of Hilbert-valued continuous semi-martingales”, Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2019, Issue 4,Pages <nobr>39

This article is cited in 1 paper

Theory of Probability and Mathematical Statistics

Compactness conditions for a family of measures of Hilbert-valued continuous semi-martingales

V. V. Lavrentyev^a, A. L. Bugrimov^b

^a Lomonosov Moscow State University, Moscow
^b Moscow State Textile University named after A. N. Kosygin, Moscow

Abstract: In this paper, we consider conditions of relative compactness for a family of measures of Hilbert-valued continuous semimartingales. The conditions are formulated for a triplet of local characteristics of a semimartingale, which is uniquely determined from a semimartingale.

Keywords: semimartingale, Hilbert space, compactness of measures, stochastically continuous processes.

UDC: 519.216.8, 519.216.22

Received: 01.08.2019
Revised: 13.10.2019

DOI: 10.26456/vtpmk545