Stochastic integration w.r.t. continuous local martingales

In this note we develop the theory of stochastic integration w.r.t. continuous local martingales using a simple time change technique. We allow progressively measurable integrands.

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Year of publication:	1983
Authors:	Karandikar, Rajeeva L.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 15.1983, 2, p. 203-209
Publisher:	Elsevier
Keywords:	Local martingales time change stochastic integral

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874423