Worthy martingales and integrators

Ely Merzbach; Moshe Zakai

doi:10.1016/0167-7152(93)90073-r

Worthy martingales and integrators

Ely Merzbach
, Moshe Zakai

Department of Mathematics

Technion-Israel Institute of Technology

Research output: Contribution to journal › Article › peer-review

1 Scopus citations

Abstract

The class of worthy martingales parameterized by time and a general state space was introduced by Walsh (Lecture Notes in Math. No. 1180, 1986). It serves as a class of L²-stochastic integrators which seem natural for modelling the driving force in stochastic partial differential equations. Here we extend this class and show that this extension yields the most general class of L²-martingale integrators.

Original language	English
Pages (from-to)	391-395
Number of pages	5
Journal	Statistics and Probability Letters
Volume	16
Issue number	5
DOIs	https://doi.org/10.1016/0167-7152(93)90073-r
State	Published - 8 Apr 1993

Bibliographical note

Funding Information:
* Work partly supported by the Fund for Promotion of Research at Technion.

Funding

* Work partly supported by the Fund for Promotion of Research at Technion.

Funders
Technion-Israel Institute of Technology

Keywords

Worthy martingale
bimeasure
integrator
predictable σ-field
stochastic integral

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10.1016/0167-7152(93)90073-r

Cite this

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KW - bimeasure

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Worthy martingales and integrators

Abstract

Bibliographical note

Funding

Keywords

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