On compact Ito's formulas for martingales of mc4.
Publicacions Matemàtiques (1990)
- Volume: 34, Issue: 1, page 107-128
- ISSN: 0214-1493
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topJolis, María. "On compact Ito's formulas for martingales of mc4.." Publicacions Matemàtiques 34.1 (1990): 107-128. <http://eudml.org/doc/41118>.
@article{Jolis1990,
abstract = {We prove that the class mc4 of continuous martingales with parameter set [0,1]2, bounded in L4, is included in the class of semi-martingales Sc∞(L0(P)) defined by Allain in [A]. As a consequence we obtain a compact Itô's formula. Finally we relate this result with the compact Itô formula obtained by Sanz in [S] for martingales of mc4.},
author = {Jolis, María},
journal = {Publicacions Matemàtiques},
keywords = {Procesos; Martingalas; two-parameter martingales; stochastic integrators; semimartingales; maximal processes; Itô’s formula},
language = {eng},
number = {1},
pages = {107-128},
title = {On compact Ito's formulas for martingales of mc4.},
url = {http://eudml.org/doc/41118},
volume = {34},
year = {1990},
}
TY - JOUR
AU - Jolis, María
TI - On compact Ito's formulas for martingales of mc4.
JO - Publicacions Matemàtiques
PY - 1990
VL - 34
IS - 1
SP - 107
EP - 128
AB - We prove that the class mc4 of continuous martingales with parameter set [0,1]2, bounded in L4, is included in the class of semi-martingales Sc∞(L0(P)) defined by Allain in [A]. As a consequence we obtain a compact Itô's formula. Finally we relate this result with the compact Itô formula obtained by Sanz in [S] for martingales of mc4.
LA - eng
KW - Procesos; Martingalas; two-parameter martingales; stochastic integrators; semimartingales; maximal processes; Itô’s formula
UR - http://eudml.org/doc/41118
ER -
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