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1983

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/151402

Une formule d'Itô pour les martingales continues a deux indices et quelques apllications

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Abstract

An Itô differentiation formula is proved for arbitrary two-parameter continuous martingales. As an application we deduce the existence and continuity of the local time of these martingales with respect to a particular random measure. Finally we obtain a maximal inequality for stochastic integráis in one coordínate.

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Preprint enviat per a la seva publicació en una revista científica: Annales de l'I.H.P. Probabilités et statistiques, Volume 20 (1984) no. 3, p. 251-275 [http://www.numdam.org/item/?id=AIHPB_1984__20_3_251_0]

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Martingales (Matemàtica)

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Universitat de Barcelona. Institut de Matemàtica

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Preprints de Matemàtiques - Mathematics Preprint Series

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NUALART, David. Une formule d'Itô pour les martingales continues a deux indices et quelques apllications. [consulted: 14 of June of 2026]. Available at: https://hdl.handle.net/2445/151402

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