On the convergence of stochastic integrals with respect to \(p\)-semimartingales
type: Item
instance of: scholarly article
title: On the convergence of stochastic integrals with respect to \(p\)-semimartingales
zbMATH Open document ID: 1161.60018
published in: Statistics \& Probability Letters
publication date: 2008-10-30T00:00:00Z
review text: The paper considers a new class of processes which is wider than the semimartingale class and contains the fractional Brownian motion. This new class is denoted as the class of \(p\)-semimartingales and it is constructed as the set of processes that can be written as the sum of a bounded \(p\)-variation process and a martingale. The sufficient conditions for the weal convergence of stochastic integrals with respect to \(p\)-semimartingales has been obtained. These conditions can be simplified if the integrating process is pathwise constant.
reviewed by: Elisa Alòs
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 60G17
zbMATH DE Number: 5358990
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: \(p\)-martingales
zbMATH Keywords: stochastic integration
author: K. Kubilius
MaRDI profile type: Publication
full work available at URL: j.spl.2008.02.029
OpenAlex ID: W2004745335
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DOI: 10.1016/J.SPL.2008.02.029
description: scientific article; zbMATH DE number 5358990