A weak convergence criterion for constructing changes of measure

DOI10.1080/15326349.2015.1114891zbMath1339.60047arXiv1208.2606OpenAlexW2181968889MaRDI QIDQ2811915

Johannes Ruf, Jose H. Blanchet

Publication date: 9 June 2016

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.2606

zbMATH Keywords

weak convergenceweak solutiontightnessjump processesGirsanov theoremlocal martingaleschanges of measureconditional queueing process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Functional limit theorems; invariance principles (60F17)

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