Stochastic integrals of point processes and the decomposition of two- parameter martingales (Q1824278): Difference between revisions
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Revision as of 10:56, 20 June 2024
scientific article
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English | Stochastic integrals of point processes and the decomposition of two- parameter martingales |
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Stochastic integrals of point processes and the decomposition of two- parameter martingales (English)
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1989
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Let M be a two-parameter square-integrable martingale with trajectories that have limits in all quadrants and are continuous from the right. The paper gives the decomposition of M into four orthogonal components: \(M=\sum^{4}_{i=1}M_ i,\) where \(M_ 1\) is continuous, \(M_ 2\) is purely discontinuous, \(M_ 3\) and \(M_ 4\) are continuous in one coordinate and purely discontinuous in the other coordinate. \(M_ 2\), \(M_ 3\) and \(M_ 4\) are represented as stochastic integrals with some point measures as integrators.
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two-parameter martingale
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orthogonal decomposition
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point measures as integrators
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