On Square Integrable Martingales
- 1 August 1967
- journal article
- research article
- Published by Cambridge University Press (CUP) in Nagoya Mathematical Journal
- Vol. 30, 209-245
- https://doi.org/10.1017/s0027763000012484
Abstract
Theory of real and time continuous martingales has been developed recently by P. Meyer [8, 9]. Let be a square integrable martingale on a probability space P. He showed that there exists an increasing process ‹X›t such thatKeywords
This publication has 6 references indexed in Scilit:
- ON CONTINUOUS MARTINGALESProceedings of the National Academy of Sciences, 1965
- On a class of additive functionals of Markov processesKyoto Journal of Mathematics, 1965
- Transformation of Markov processes by multiplicative functionalsAnnales de l'institut Fourier, 1965
- On discontinuous additive functionals and Lévy measures of a Markov processJapanese journal of mathematics :transactions and abstracts, 1964
- Decomposition of supermartingales: The uniqueness theoremIllinois Journal of Mathematics, 1963
- A decomposition theorem for supermartingalesIllinois Journal of Mathematics, 1962