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Stability of Compensated Jump Integrals under Quadratic V...
Philip Kennerberg · 2026-05-12 · via math.PR updates on arXiv.org

We study the stability of compensated jump integrals under convergence of quadratic variation alone. Let \(X\) and \(\{X^n\}_{n\ge1}\) be càdlàg processes with jump measures \(μ,μ_n\) and predictable compensators \(ν,ν_n\). Under the assumption \[ [X^n-X]_t \to 0 \qquad\text{in probability}, \] we establish ucp convergence of compensated jump integrals of the form \[ \int_0^. \int_{\mathbb R} f_n(s,x)(μ_n-ν_n)(ds,dx) \] under local linear growth and locally uniform convergence assumptions on the integrands. The proof is based on two structural mechanisms. The first is a forbidden bands principle, showing that quadratic variation convergence prevents jumps from crossing suitably chosen moving threshold regions. The second is a compensator mass control mechanism, which combines threshold-separated alignment of large predictable jumps with a counting argument for the associated compensator atoms. The results require neither semimartingale convergence, convergence of characteristics, uniform tightness, nor global structural assumptions such as independence, stationarity, or Markovianity. More broadly, they show that quadratic variation convergence imposes a substantially stronger rigidity on the jump organization of càdlàg processes than one might initially expect.