Regularity and integrator properties of variation processes of two-parameter martingales with jumps

Peter Imkeller

Séminaire de probabilités de Strasbourg (1989)

  • Volume: 23, page 536-565

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Imkeller, Peter. "Regularity and integrator properties of variation processes of two-parameter martingales with jumps." Séminaire de probabilités de Strasbourg 23 (1989): 536-565. <http://eudml.org/doc/113702>.

@article{Imkeller1989,
author = {Imkeller, Peter},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Itô formula; stochastic integrator properties; continuity properties; stochastic calculus of two-parameter martingales},
language = {fre},
pages = {536-565},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Regularity and integrator properties of variation processes of two-parameter martingales with jumps},
url = {http://eudml.org/doc/113702},
volume = {23},
year = {1989},
}

TY - JOUR
AU - Imkeller, Peter
TI - Regularity and integrator properties of variation processes of two-parameter martingales with jumps
JO - Séminaire de probabilités de Strasbourg
PY - 1989
PB - Springer - Lecture Notes in Mathematics
VL - 23
SP - 536
EP - 565
LA - fre
KW - Itô formula; stochastic integrator properties; continuity properties; stochastic calculus of two-parameter martingales
UR - http://eudml.org/doc/113702
ER -

References

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  1. [1] Bakry, D. (1981) Semimartingales à deux indices. Séminaire de probabilités XVI. Lecture Notes in Math.920, 355-369. Springer, Berlin. Zbl0478.60053MR658697
  2. [2] Bichteler, K. (1981). Stochastic integration and Lp-theory of semi-martingales. Ann. Probability9, 49-89. Zbl0458.60057MR606798
  3. [3] Cairoli, R., Walsh, J.B. (1975). Stochastic integrals in the plane. Acta Math.134, 111-183. Zbl0334.60026MR420845
  4. [4] Dellacherie, C., Meyer, P.A. (1980). Probabilités et potentiel. Ch. V-VIII. Hermann, Paris. Zbl0464.60001MR566768
  5. [5] Hürzeler, H. (1982). Quasimartingale und stochastische Integratoren mit halbgeordneten Indexmengen. Dissertation, ETHZürich. Zbl0523.60042
  6. [6] Imkeller, P. (1987). A class of two-parameter stochastic integrators. Preprint, Univ. München. Zbl0716.60057MR1008229
  7. [7] Imkeller, P. (1988). Two-parameter martingales and their quadratic variation. Lecture Notes in Math.1308. Springer, Berlin. Zbl0656.60056MR947545
  8. [8] Imkeller. P. (1988). On inequalities for two-parameter martingales. Preprint, Univ. München. Zbl0656.60056MR947545
  9. [9] Merzbach, E. (1979). Processus stochastiques à indices partiellement ordonnés. Rapport interne 55. Ecole Polytechnique, Palaiseau. 
  10. [10] Mishura, Yu.S. (1984). On some properties of discontinuous two-parameter martingales. Theor. Probability and Math. Statist. 29, 87-100. MR727109
  11. [11] Mishura, Yu.S. (1985). A generalized Ito formula for two-parameter martingales . I. Theor. Probability and Math. Statist.30, 114-127. Zbl0587.60038MR800837
  12. [12] Nualart, D. (1984). On the quadratic variation of two-parameter continuous martingales. Ann. Probability12, 445-457. Zbl0538.60049MR735848
  13. [13] Nualart, D. (1984). Une formule d'Ito pour les martingales continues à deux indices et quelques applications. Ann. Inst. Henri Poincaré20, 251-275. Zbl0543.60062MR762858

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