In this paper the correlation between two multivariate martingales is studied. This correlation can be expressed in a nondecreasing process, that remains zero in the case of linear dependence. A key result is an integral representation for this process.

Stochastic systems with counting process output and a finite state space are considered. This leads to studying processes with finite state space that are Markovian with respect to the flow of [sigma]-algebras, that is generated by the counting process. It appears that there is a close...

In this paper we show how the periodogram of a semimartingale can be used to characterize the optional quadratic variation process.