The transformation theorem for two-parameter pure jump martingales

DOI10.1007/BF01198787zbMath0725.60043OpenAlexW2058001512MaRDI QIDQ2277658

Peter Imkeller

Publication date: 1991

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01198787

zbMATH Keywords

stochastic integratorsgeneral transformation formulamartingale of pure jump type

Mathematics Subject Classification ID

Random fields (60G60) Martingales with continuous parameter (60G44)

Cites Work

• Calcul stochastique et problèmes de martingales
• On the quadratic variation of two-parameter continuous martingales
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• Two-parameter martingales and their quadratic variation
• Stochastic integrals in the plane
• Weak martingales and stochastic integrals in the plane
• Differentiation formulas for stochastic integrals in the plane
• Stochastic integrals of point processes and the decomposition of two- parameter martingales
• A class of two-parameter stochastic integrators
• On regularity of multiparameter amarts and martingales
• Équations du filtrage pour un processus de poisson mélangé á deux indices
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