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arXiv:0908.1939 [math.PR]AbstractReferencesReviewsResources

A Characterization Theorem for the Distribution of a Continuous Local Martingale and Related Limit Theorems

Andriy Yurachkivsky

Published 2009-08-13, updated 2011-02-16Version 3

The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function is determined by the distribution of the quadratic characteristic. Functional limit theorem based on this characterization are proved.

Comments: This paper has been withdrawn by the author, because the characterization theorem is incorrect (though the author results sustain with minor changes)
Categories: math.PR
Subjects: 60G44, 60F17
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