Martingales with Independent Increments

Millar, P. Warwick

Ann. Math. Statist., Tome 40 (1969) no. 6, p. 1033-1041 / Harvested from Project Euclid

Résumé

In section one, $L_1$ bounds are obtained for transforms of discrete parameter martingales having independent increments. Section two develops the theory of quadratic variation for continuous parameter martingales having independent increments. An application of the results of these two sections to the theory of stochastic integrals appears in section three.

Publié le : 1969-06-14
Classification:

@article{1177697607,
     author = {Millar, P. Warwick},
     title = {Martingales with Independent Increments},
     journal = {Ann. Math. Statist.},
     volume = {40},
     number = {6},
     year = {1969},
     pages = { 1033-1041},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177697607}
}

Millar, P. Warwick. Martingales with Independent Increments. Ann. Math. Statist., Tome 40 (1969) no. 6, pp.  1033-1041. http://gdmltest.u-ga.fr/item/1177697607/