Parthasarathy, K. R. (1978) Square integrable martingales orthogonal to every stochastic integral Stochastic Processes and their Applications, 7 (1). pp. 1-7. ISSN 0304-4149
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Official URL: http://linkinghub.elsevier.com/retrieve/pii/030441...
Related URL: http://dx.doi.org/10.1016/0304-4149(78)90034-0
Abstract
Examples of square integrable martingales adapted to processes with independent increments and orthogonal to all stochastic integrals are constructed. If every square integrable martingale adapted to a process with stationary independent increments is a stochastic integral it is shown that the process must be a Wiener process.
| Item Type: | Article |
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| Source: | Copyright of this article belongs to Elsevier Science. |
| ID Code: | 36228 |
| Deposited On: | 25 May 2011 13:33 |
| Last Modified: | 25 May 2011 13:33 |
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