Bimeasures and measures induced by planar Stochastic integrators
Two parameter Stochastic processes {Xz([omega]), [omega] [set membership, variant] [Omega], z [set membership, variant] +2} which are L2 integrators are characterized through associated bimeasures defined on the product spaces ([Omega] - +2) - ([Omega] - +2) and and [Omega] - +2 - +2. It is also shown that under further restrictions on the X process there exists an associated measure on these product spaces and Xz2 possesses a Doob-Meyer-Cairoli decomposition.
Year of publication: |
1986
|
---|---|
Authors: | Merzbach, Ely ; Zakai, Moshe |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 19.1986, 1, p. 67-87
|
Publisher: |
Elsevier |
Keywords: | Two-parameter stochastic integrators bimeasures functions of bounded variation Doob-Meyer-Cairoli decomposition |
Saved in:
Saved in favorites
Similar items by person
-
Worthy martingales and integrators
Merzbach, Ely, (1993)
-
Differentiation formulas for stochastic integrals in the plane
Wong, Eugene, (1978)
-
Stopping and set-indexed local martingales
Ivanoff, B. Gail, (1995)
- More ...