PROCESSES HAVING ORTHOGONAL INCREMENTS AND STOCHASTIC INTEGRATORS
Author:
Michael L. Green a
| Affiliation: | a Department of Mathematics, Baylor University, Waco, TX, U.S.A. |
DOI:
10.1081/SAP-100002017
Publication Frequency:
6 issues per year
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Abstract
Weak martingales having an independent decomposition into the sum of i-martingales which have independent increments are shown to satisfy the Generalized Bochner Boundedness Principle, hence are stochastic integrators. An explicit example of a one-martingale having orthogonal increments is constructed.
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