The martingale problem method revisited

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.