Some remarks on the theory of stochastic integration
Jia-An Yan (1991)
Séminaire de probabilités de Strasbourg
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Jia-An Yan (1991)
Séminaire de probabilités de Strasbourg
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Edwin Perkins (1985)
Séminaire de probabilités de Strasbourg
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Hyungsok Ahn, Philip Protter (1994)
Séminaire de probabilités de Strasbourg
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Watanabe, Shinzo (2009)
Journal Électronique d'Histoire des Probabilités et de la Statistique [electronic only]
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Michel Métivier (1982)
Séminaire de probabilités de Strasbourg
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Darrell Duffie (1985)
Séminaire de probabilités de Strasbourg
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Jean Jacod (2002)
Séminaire de probabilités de Strasbourg
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Kühn, Christoph, Stroh, Maximilian (2009)
Electronic Communications in Probability [electronic only]
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Francis Hirsch, Bernard Roynette (2012)
ESAIM: Probability and Statistics
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In this paper, we present a new proof of the celebrated theorem of Kellerer, stating that every integrable process, which increases in the convex order, has the same one-dimensional marginals as a martingale. Our proof proceeds by approximations, and calls upon martingales constructed as solutions of stochastic differential equations. It relies on a uniqueness result, due to Pierre, for a Fokker-Planck equation.
Jerzy Motyl, Joachim Syga (2006)
Discussiones Mathematicae Probability and Statistics
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We introduce set-valued stochastic integrals driven by a square-integrable martingale and by a semimartingale. We investigate properties of both integrals.
Jean Jacod (1997)
Séminaire de probabilités de Strasbourg
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