Weak convergence of stochastic integrals on Skorokhod space in Skorokhod’s $$J_1$$ and $$M_1$$ topologies

Andreas Sojmark & Fabrice Wunderlich

Probability Theory and Related Fields2026https://doi.org/10.1007/s00440-026-01476-yarticle
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Abstract

We provide criteria for Itô integration to behave continuously with respect to Skorokhod’s $$J_1$$ J 1 and $$M_1$$ M 1 topologies, when the integrands and integrators converge weakly or in probability. The results are novel in the $$M_1$$ M 1 setting and unify existing theories in the $$J_1$$ J 1 case. Beyond sufficient criteria, we present an example of uniformly convergent martingale integrators for which the continuity breaks down. Moreover, we show that, for families of local martingales, $$M_1$$ M 1 tightness in fact implies $$J_1$$ J 1 tightness under a mild localised uniform integrability condition. Finally, we apply our results to study scaling limits of models of anomalous diffusion driven by continuous-time random walks. This yields new results on weak $$M_1$$ M 1 and $$J_1$$ J 1 convergence to stochastic integrals against subordinated stable processes. In the case of superdiffusive scaling, an interesting counterexample is obtained.

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https://doi.org/https://doi.org/10.1007/s00440-026-01476-y

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@article{andreas2026,
  title        = {{Weak convergence of stochastic integrals on Skorokhod space in Skorokhod’s $$J_1$$ and $$M_1$$ topologies}},
  author       = {Andreas Sojmark & Fabrice Wunderlich},
  journal      = {Probability Theory and Related Fields},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1007/s00440-026-01476-y},
}

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