Planar semimartingales obtained by transformations of two-parameter martingales

Minh Duc Nguyen; D. Nualart; M. Sanz

Séminaire de probabilités de Strasbourg (1989)

  • Volume: 23, page 566-582

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Nguyen, Minh Duc, Nualart, D., and Sanz, M.. "Planar semimartingales obtained by transformations of two-parameter martingales." Séminaire de probabilités de Strasbourg 23 (1989): 566-582. <http://eudml.org/doc/113703>.

@article{Nguyen1989,
author = {Nguyen, Minh Duc, Nualart, D., Sanz, M.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {weak local submartingale property; quasimartingale property},
language = {eng},
pages = {566-582},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Planar semimartingales obtained by transformations of two-parameter martingales},
url = {http://eudml.org/doc/113703},
volume = {23},
year = {1989},
}

TY - JOUR
AU - Nguyen, Minh Duc
AU - Nualart, D.
AU - Sanz, M.
TI - Planar semimartingales obtained by transformations of two-parameter martingales
JO - Séminaire de probabilités de Strasbourg
PY - 1989
PB - Springer - Lecture Notes in Mathematics
VL - 23
SP - 566
EP - 582
LA - eng
KW - weak local submartingale property; quasimartingale property
UR - http://eudml.org/doc/113703
ER -

References

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  1. [1] Brennan, M.D. "Planar semimartingales". Journal of multivariate Analysis9, 465-486 (1979). Zbl0456.60049MR556907
  2. [2] Cairoli, R. and Walsh, J.B. "Stochastic integrals in the plane". Acta Math.134, 111-183 (1975). Zbl0334.60026MR420845
  3. [3] Dellacheire, C. et Meyer, P.A. "Probabilités et Potentiel". Vol. 2Hermann. Paris (1980). MR566768
  4. [4] Föllmer, H. " Quasimartingales à deux indices". C. R. Acad. Sc.Paris. Sér 1, t. 288, 61-64 (1979). Zbl0397.60044MR522021
  5. [5] Meyer, P.A. "Un cours sur les intégrales stochastiques". Sém. de Probab. X. Lecture Notes in Math.511. Springer Verlag. Berlin-Heidelberg-New York (1980). Zbl0374.60070MR501332
  6. [ 6 ] Nguyen Minh Duc and Nguyen Xuan Loc "On the transformation of a martingale with a two-dimensional parameter set by convex functions". Z. Wahr. un Verw. Gebiete66, 19-24 (1984). Zbl0558.60042MR743082
  7. [7] Nguyen Minh Duc and Nguyen Xuan Loc "Characterization of functions which transform Brownian sheet into planar semimartingales". Preprint Series n.° 26. Inst. of Math. and Inst. of Computer Scien. and Cybernetics. Hanoi1985. 
  8. [8] Nualart, D. "On the quadratic variation of two-parameter continuous martingales". Annals of Probab. Vol 12, n.° 2, 445-457 (1984). Zbl0538.60049MR735848
  9. [9] Nualart, D.. "Une formule d'Itô pour les martingales continues à deux indices et quelques applications". Ann. de l'Institut H. Poincaré Vol. 20, 3, 251-275 (1984). Zbl0543.60062MR762858
  10. [10] Nualart, D. and Utzet, F. "A property of two-parameter martingales with path-independent variation". Stoch. Proc. and their Appl.24, 31-49 (1987). Zbl0617.60044MR883601
  11. [11] Nualart D., Sanz, M. and Zakai M. "On the relations between increasing functions associated with two-parameter continuous martingales". Tech. Report n.° 190. Center for Stochastic Processes. University of North Carolina at Chapel Hill (1987). Zbl0691.60040MR562437
  12. [12] Sanz, M. "Local time for two-parameter continuous martingales with respect to the quadratic variation". Annals of Probab. Vol 16, n.° 2, (1981). Zbl0645.60066MR929078
  13. [13] Sanz, M. "r-variations for two-parameter continuous martingales and Itô's formula" Preprint. (1987). MR1008909
  14. [14] Yoeurp, Ch."Compléments sur les temps locaux et les quasimartingales". Astérisque52-53. 197-218 (1978). 

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