Some remarks on the martingales satisfying the structure equation [ X , X ] t = t + ∫ 0 t β X s - d X s

Tsung Ming Chao; Ching Sung Chou

Séminaire de probabilités de Strasbourg (2001)

  • Volume: 35, page 87-97

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Chao, Tsung Ming, and Chou, Ching Sung. "Some remarks on the martingales satisfying the structure equation ${[X,X]}_t= t+\int _0^t\beta X_{s^-}\,dX_s$." Séminaire de probabilités de Strasbourg 35 (2001): 87-97. <http://eudml.org/doc/114081>.

@article{Chao2001,
author = {Chao, Tsung Ming, Chou, Ching Sung},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {martingale; structure equation; path property; local time; Bouleau-Yor extension; Itô’s formula; Burkholder-Davis-Gundy type inequality},
language = {eng},
pages = {87-97},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Some remarks on the martingales satisfying the structure equation $\{[X,X]\}_t= t+\int _0^t\beta X_\{s^-\}\,dX_s$},
url = {http://eudml.org/doc/114081},
volume = {35},
year = {2001},
}

TY - JOUR
AU - Chao, Tsung Ming
AU - Chou, Ching Sung
TI - Some remarks on the martingales satisfying the structure equation ${[X,X]}_t= t+\int _0^t\beta X_{s^-}\,dX_s$
JO - Séminaire de probabilités de Strasbourg
PY - 2001
PB - Springer - Lecture Notes in Mathematics
VL - 35
SP - 87
EP - 97
LA - eng
KW - martingale; structure equation; path property; local time; Bouleau-Yor extension; Itô’s formula; Burkholder-Davis-Gundy type inequality
UR - http://eudml.org/doc/114081
ER -

References

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