We prove that the class mc 4 of continuous martingales with parameter set [0,1]2, bounded in L4, is included in the class of semi-martingales Sc ∞(L0(P)) defined by Allain in [A]. As a consequence we obtain a compact Itô's formula. Finally we relate this result with the compact Itô formula obtained by Sanz in [S] for martingales of mc 4.
@article{urn:eudml:doc:41118,
title = {On compact Ito's formulas for martingales of mc
4.},
journal = {Publicacions Matem\`atiques},
volume = {34},
year = {1990},
pages = {107-128},
zbl = {0717.60058},
language = {en},
url = {http://dml.mathdoc.fr/item/urn:eudml:doc:41118}
}
Jolis, María. On compact Ito's formulas for martingales of mc
4.. Publicacions Matemàtiques, Tome 34 (1990) pp. 107-128. http://gdmltest.u-ga.fr/item/urn:eudml:doc:41118/