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 |
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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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