Martingale-type processes indexed by the real line - Mathematics > ProbabilityReport as inadecuate




Martingale-type processes indexed by the real line - Mathematics > Probability - Download this document for free, or read online. Document in PDF available to download.

Abstract: Some classes of increment martingales, and the corresponding localizedclasses, are studied. An increment martingale is indexed by the real line andits increment processes are martingales. We focus primarily on the behavior astime goes to minus infinity in relation to the quadratic variation or thepredictable quadratic variation, and we relate the limiting behavior to themartingale property. Finally, integration with respect to an incrementmartingale is studied.



Author: Andreas Basse-O'Connor, Svend-Erik Graversen, Jan Pedersen

Source: https://arxiv.org/







Related documents