Karandikar, Rajeeva L. (1983) Stochastic integration w.r.t. continuous local martingales Stochastic Processes and their Applications, 15 (2). pp. 203-209. 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(83)90057-1
Abstract
In 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.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Elsevier Science. |
| Keywords: | Local Martingales; Time Change; Stochastic Integral |
| ID Code: | 18414 |
| Deposited On: | 17 Nov 2010 09:14 |
| Last Modified: | 04 Jun 2011 08:20 |
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