Decomposition of two parameter martingales.

Autores: David Nualart Rodón
Localización: Stochastica: revista de matemática pura y aplicada, ISSN 0210-7821, Vol. 5, Nº. 3, 1981, págs. 133-150
Idioma: inglés
Títulos paralelos:
- Descomposición de martingalas biparamétricas.
Enlaces
- Texto completo (pdf)
Resumen
- 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.