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On compact Ito's formulas for martingales of m .

María Jolis — 1990

Publicacions Matemàtiques

We prove that the class m of continuous martingales with parameter set [0,1], bounded in L, is included in the class of semi-martingales S (L(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 m .

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