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On Square Integrable Martingales

Published online by Cambridge University Press:  22 January 2016

Hiroshi Kunita
Affiliation:
University of Illinois, Nagoya University and Stanford University, Kyoto University
Shinzo Watanabe
Affiliation:
University of Illinois, Nagoya University and Stanford University, Kyoto University
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Theory of real and time continuous martingales has been developed recently by P. Meyer [8, 9]. Let be a square integrable martingale on a probability space P. He showed that there exists an increasing process ‹X›t such that

Type
Research Article
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1966

References

[1] Courrège, P., Intégrales stochastiques et martingales de carré integrable, Seminaire Breîot-Choquet-Deny 7e annee (1962/63) 7.Google Scholar
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On Square Integrable Martingales
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