This Lemma is from Ethier and Kurtz's Markov Processes on page 205. My question is about the equation (5.47). I can prove it is a uniformly integrable martingale (bounded by 1), so converges to a martingale a.s. and in $L^2$. But how to get the formula of the RHS of (5.47)? Thanks very much!
2026-04-05 20:52:33.1775422353
Convergence result of a UI martingale
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