Lifting theorems for some classes of two parameter martingales
- Autores: Myriam Muñoz de Özak
- Localización: Revista Colombiana de Matemáticas, ISSN-e 0034-7426, Vol. 32, Nº. 1, 1998, págs. 47-71
- Idioma: inglés
- Enlaces
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Resumen
By means of nonstandard analysis we establish some lifting theorems for two parameter stochastic processes, for two parameter martingales and for weak, strong and i-martingales. We also prove that the standard part of an internal martingale is a standard larc martingale (a two parameter version of a càdlàg martingale). A basic nonstandard two parameter stochastic integral is introduced. An integral representation of Wong and Zakai proves to be a very useful tool for our purposes.
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