Embedding and asymptotic expansions for martingales
type: Item
instance of: scholarly article
title: Embedding and asymptotic expansions for martingales
zbMATH Open document ID: 0843.60049
DOI: 10.1007/BF01246335
author: Per Aslak Mykland
publication date: 1996-08-13T00:00:00Z
review text: The paper develops a way of embedding general martingales in continuous ones in such a way that the quadratic variation of the continuous martingale has conditional cumulants (given the original martingale) that are explicitly given in terms of optional and predictable variations of the original process. Bartlett identities for the conditional cumulants are also found. A main corollary to these results is the establishment of second (and in some cases higher) order asymptotic expansions for martingales.
reviewed by: Allan Gut
Mathematics Subject Classification ID: 60G42
Mathematics Subject Classification ID: 62E20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 60F99
zbMATH DE Number: 822728
zbMATH Keywords: embedding general martingales in continuous ones
zbMATH Keywords: conditional cumulants
zbMATH Keywords: asymptotic expansions for martingales
MaRDI profile type: Publication
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full work available at URL: https://doi.org/10.1007/bf01246335
OpenAlex ID: W1980441468
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article; zbMATH DE number 822728