EMBEDDING AND ASYMPTOTIC EXPANSIONS FOR MARTINGALES
成果类型：
Article
署名作者：
MYKLAND, PA
刊物名称：
PROBABILITY THEORY AND RELATED FIELDS
ISSN/ISSBN：
0178-8051
DOI：
10.1007/BF01246335
发表日期：
1995
页码：
475-492
关键词：
摘要：
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.