Abstract
We use the abstract method of (local) martingale problems in order to give criteria for convergence of stochastic processes. Extending previous notions, the formulation we use is neither restricted to Markov processes (or semimartingales), nor to continuous or càdlàg paths. We illustrate our findings both, by finding generalizations of known results, and proving new results. For the latter, we work on processes with fixed times of discontinuity.
Funding Statement
DC acknowledges financial support from the DFG project No. SCHM 2160/15-1.
Acknowledgments
The authors are grateful to an anonymous referee for many helpful comments and suggestions. DC acknowledges financial support from the DFG project No. SCHM 2160/15-1.
Citation
David Criens. Peter Pfaffelhuber. Thorsten Schmidt. "The martingale problem method revisited." Electron. J. Probab. 28 1 - 46, 2023. https://doi.org/10.1214/23-EJP902
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