Decomposition of two parameter martingales.
Stochastica (1981)
- Volume: 5, Issue: 3, page 133-150
- ISSN: 0210-7821
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topNualart Rodón, David. "Decomposition of two parameter martingales.." Stochastica 5.3 (1981): 133-150. <http://eudml.org/doc/38964>.
@article{NualartRodón1981,
abstract = {In this paper we exhibit some decompositions in orthogonal stochastic integrals of two-parameter square integrable martingales adapted to a Brownian sheet which generalize the representation theorem of E. Wong and M. Zakai ([6]). Concretely, a development in a series of multiple stochastic integrals is obtained for such martingales. These results are applied for the characterization of martingales of path independent variation.},
author = {Nualart Rodón, David},
journal = {Stochastica},
keywords = {Martingalas; Integración estocástica; Procesos estocásticos; orthogonal stochastic integrals; two-parameter martingales; characterization of martingales},
language = {eng},
number = {3},
pages = {133-150},
title = {Decomposition of two parameter martingales.},
url = {http://eudml.org/doc/38964},
volume = {5},
year = {1981},
}
TY - JOUR
AU - Nualart Rodón, David
TI - Decomposition of two parameter martingales.
JO - Stochastica
PY - 1981
VL - 5
IS - 3
SP - 133
EP - 150
AB - In this paper we exhibit some decompositions in orthogonal stochastic integrals of two-parameter square integrable martingales adapted to a Brownian sheet which generalize the representation theorem of E. Wong and M. Zakai ([6]). Concretely, a development in a series of multiple stochastic integrals is obtained for such martingales. These results are applied for the characterization of martingales of path independent variation.
LA - eng
KW - Martingalas; Integración estocástica; Procesos estocásticos; orthogonal stochastic integrals; two-parameter martingales; characterization of martingales
UR - http://eudml.org/doc/38964
ER -
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