On the Quadratic Variation of Two-Parameter Continuous Martingales

Nualart, D.

Nualart, D.

Ann. Probab., Tome 12 (1984) no. 4, p. 445-457 / Harvested from Project Euclid

Résumé

Let $M = \{M(z), z \in \lbrack 0, 1\rbrack^2\}$ be a two-parameter square integrable continuous martingale. We prove the sample continuity of the quadratic variation of $M$ using an Ito's differentiation formula for $M^2$.

Publié le : 1984-05-14
Classification: Two-parameter martingales, quadratic variation, 60G44, 60G17

@article{1176993300,
     author = {Nualart, D.},
     title = {On the Quadratic Variation of Two-Parameter Continuous Martingales},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 445-457},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993300}
}

Nualart, D. On the Quadratic Variation of Two-Parameter Continuous Martingales. Ann. Probab., Tome 12 (1984) no. 4, pp.  445-457. http://gdmltest.u-ga.fr/item/1176993300/