In this paper we exhibit some decompositions in orthogonal stochastic integrals of two-parameter square integrable martingales adapted to a Brownian sheet which generalize the representation theorem of E. Wong and M. Zakai ([6]). Concretely, a development in a series of multiple stochastic integrals is obtained for such martingales. These results are applied for the characterization of martingales of path independent variation.
@article{urn:eudml:doc:38964,
title = {Decomposition of two parameter martingales.},
journal = {Stochastica},
volume = {5},
year = {1981},
pages = {133-150},
zbl = {0508.60049},
mrnumber = {MR0659245},
language = {en},
url = {http://dml.mathdoc.fr/item/urn:eudml:doc:38964}
}
Nualart Rodón, David. Decomposition of two parameter martingales.. Stochastica, Tome 5 (1981) pp. 133-150. http://gdmltest.u-ga.fr/item/urn:eudml:doc:38964/