Stochastic Integrals of Continuous Local Martingales, I

DOI10.1002/mana.19800970128zbMath0453.60054OpenAlexW4235150842MaRDI QIDQ3900762

Hans-Jürgen Engelbert, Juliane Hess

Publication date: 1980

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mana.19800970128

zbMATH Keywords

continuous local martingalerepresentation problemmethod of random time change

Mathematics Subject Classification ID

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

Related Items (8)

On exponential local martingales associated with strong Markov continuous local martingales ⋮ On a generalization of the theorem of p. levy ⋮ On solutions of one-dimensional stochastic differential equations without drift ⋮ The Predictable Representation Property of Compensated-Covariation Stable Families of Martingales ⋮ Integral representation with respect to stopped continuous local martingales ⋮ A canonical setting and separating times for continuous local martingales ⋮ On driftless one-dimensional sdes with time-dependent diffusion coefficients ⋮ On the predictable representation property of martingales associated with Lévy processes

Cites Work

• Sur l'etude des martingales continues extrêmales
• On Square Integrable Martingales
• Unnamed Item

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