Multiplicative decomposition of non-singular matrix valued continuous semimartingales

Karandikar, Rajeeva L. (1982) Multiplicative decomposition of non-singular matrix valued continuous semimartingales Annals of Probability, 10 (4). pp. 1088-1091. ISSN 0091-1798

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Official URL: http://www.jstor.org/pss/2243568

Abstract

It is shown that a nonsingular matrix valued continuous semimartingale can be decomposed uniquely as a product of a continuous local martingale and a continuous process of locally bounded variation. An "integration by parts" formula for the multiplicative stochastic integral is also obtained.

Item Type:Article
Source:Copyright of this article belongs to Institute of Mathematical Statistics.
Keywords:Semimartingales; Multiplicative Decomposition; Multiplicative Stochastic Integration; Integration by Parts Formula
ID Code:73327
Deposited On:02 Dec 2011 08:16
Last Modified:02 Dec 2011 08:16

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