AbstractIn this note we develop the theory of stochastic integration w.r.t. continuous local martingales using a simple time change technique. We allow progressively measurable integrands
AbstractStochastic integration of left continuous integrands with respect to quasimartingales is dev...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
The model determines a stochastic continuous process as continuous limit of a stochastic discrete pr...
AbstractLet M be a 4N-integrable, real-valued continuous N-parameter strong martingale. Burkholder's...
AbstractLet (Ω,J,P;Jz) be a probability space with an increasing family of sub-σ-fields {Jz, z ∈ D},...
AbstractA simple proof is given of the representation of martingales adapted to the sigma fields of ...
AbstractConditions are given under which the order of differentiation with respect to a parameter an...
AbstractLet Xn = {Xn(t): 0 ⩽ t ⩽1}, n ⩾ 0, be a sequence of square-integrable martingales. The main ...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
Abstract. Recently, van Neerven, Weis and the author, constructed a the-ory for stochastic integrati...
International audienceIn this paper we introduce the concept of \textit{conic martingales}. This cla...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
AbstractStochastic integration of left continuous integrands with respect to quasimartingales is dev...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
In this note we develop the theory of stochastic integration w.r.t. continuous local martingales usi...
AbstractLet {Xt} be a continuous square integrable martingale. Denote its increasing (natural) proce...
The model determines a stochastic continuous process as continuous limit of a stochastic discrete pr...
AbstractLet M be a 4N-integrable, real-valued continuous N-parameter strong martingale. Burkholder's...
AbstractLet (Ω,J,P;Jz) be a probability space with an increasing family of sub-σ-fields {Jz, z ∈ D},...
AbstractA simple proof is given of the representation of martingales adapted to the sigma fields of ...
AbstractConditions are given under which the order of differentiation with respect to a parameter an...
AbstractLet Xn = {Xn(t): 0 ⩽ t ⩽1}, n ⩾ 0, be a sequence of square-integrable martingales. The main ...
This note studies the martingale property of a nonnegative, continuous local martingale Z, given as ...
Abstract. Recently, van Neerven, Weis and the author, constructed a the-ory for stochastic integrati...
International audienceIn this paper we introduce the concept of \textit{conic martingales}. This cla...
Recently, van Neerven, Weis and the author, constructed a theory for stochastic integration of UMD B...
AbstractStochastic integration of left continuous integrands with respect to quasimartingales is dev...
Abstract. For a real Borel measurable function b, which satisfies certain integrability conditions, ...
We show an Itˆo's formula for nondegenerate Brownian martingales Xt =ς t/0 us dWs and functions F(x,...
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