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JOURNALS // Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics] // Archive

Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2024 Issue 1, Pages 5–16 (Mi vtpmk699)

Theory of Probability and Mathematical Statistics

Weak convergence of Hilbert-valued semimartingales to a stochastically continuous process with independent increments

V. V. Lavrentyev

Lomonosov Moscow State University, Moscow

Abstract: The paper studies the weak convergence of semimartingales taking values in Hilbert space to an arbitrary stochastically continuous process with independent increments. Sufficient conditions for the weak convergence of such semimartingales to a stochastically continuous semimartingale with independent increments are obtained.

Keywords: semimartingale, Hilbert space, weak convergence, stochastically continuous processes.

UDC: 519.216.8,519.216.24

MSC: 60F17, 60G48, 60G51

Received: 09.12.2023
Revised: 30.01.2024

DOI: 10.26456/vtpmk699



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