The martingales of an independent increment process

DOI10.1016/0304-4149(79)90045-0zbMath0428.60056OpenAlexW1971147272MaRDI QIDQ1137315

Richard F. Bass

Publication date: 1979

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(79)90045-0

zbMATH Keywords

stochastic integralsprocesses with stationary independent incrementsrepresentation of martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items

Representation of the square integrable martingales generated by a two-parameter Lévy process

Cites Work

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• Square integrable martingales orthogonal to every stochastic integral
• On the Existence of Optional Modifications for Martingales
• On Square Integrable Martingales