It is shown that a nonsingular matrix valued continuous semimartingale can be decomposed uniquely as a product of a continuous local martingale and a continuous process of locally bounded variation. An "integration by parts" formula for the multiplicative stochastic integral is also obtained.
Publié le : 1982-11-14
Classification:
Semimartingales,
multiplicative decomposition,
multiplicative stochastic integration,
integration by parts formula,
60G48,
60H05,
60J57
@article{1176993734,
author = {Karandikar, Rajeeva L.},
title = {Multiplicative Decomposition of Non-Singular Matrix Valued Continuous Semimartingales},
journal = {Ann. Probab.},
volume = {10},
number = {4},
year = {1982},
pages = { 1088-1091},
language = {en},
url = {http://dml.mathdoc.fr/item/1176993734}
}
Karandikar, Rajeeva L. Multiplicative Decomposition of Non-Singular Matrix Valued Continuous Semimartingales. Ann. Probab., Tome 10 (1982) no. 4, pp. 1088-1091. http://gdmltest.u-ga.fr/item/1176993734/