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Oscillation presque sûre de martingales continues

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1655)

Résumé

Nous établissons une limite presque sûre en loi pour les variations de martingales continues. Ce résultat généralise un résultat précédent de Azaïs et Wschebor qui demandait des conditions techniques sur les martingales. On en déduit une approximation presque sûre faible de la mesure d’occupation à partir du nombre de franchissements.

Mathematics Subject Classification (1991)

  • 60F05
  • 60G44

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Bibliographie

  1. Azaïs, J-M. (1989). “Approximation des trajectoires et temps local des diffusions”. Ann. Inst. Henri Poincaré, Vol. 25, 2, 175–194.

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© 1997 Springer-Verlag Berlin Heidelberg

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Azaïs, JM., Wschebor, M. (1997). Oscillation presque sûre de martingales continues. In: Azéma, J., Yor, M., Emery, M. (eds) Séminaire de Probabilités XXXI. Lecture Notes in Mathematics, vol 1655. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0119293

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  • DOI: https://doi.org/10.1007/BFb0119293

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-62634-3

  • Online ISBN: 978-3-540-68352-0

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