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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
Published in: journal Stochastic Analysis and Applications, Volume 19, Issue 3 March 2001 , pages 387 - 398
Formats available: HTML (English) : PDF (English)
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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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