Abstract
This chapter constitutes the second step on our way to general limit theorems. We consider a sequence (X n) of semimartingales, with characteristics (B n, C n, v n), and a limiting process X which is a PII with characteristics (B, C, v). Our main objective is to prove that the various conditions of Chapter VII still insure the (functional or finite-dimensional) convergence of (X n) to X, although the X n’s are no longer PII.
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© 1987 Springer-Verlag Berlin Heidelberg
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Jacod, J., Shiryaev, A.N. (1987). Convergence to a Process with Independent Increments. In: Limit Theorems for Stochastic Processes. Grundlehren der mathematischen Wissenschaften, vol 288. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-02514-7_8
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DOI: https://doi.org/10.1007/978-3-662-02514-7_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-02516-1
Online ISBN: 978-3-662-02514-7
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