Multiparameter martingale differential forms (Q1088291): Difference between revisions

The objective of this paper is to introduce the notion of martingale differential form and to study the integrals of such forms on suitable sets. This theory provides an interesting approach to the stochastic calculus for multiparameter processes. First, stochastic differential forms on \({\mathbb{R}}^ n_+\) are defined as random elements parametrized by chains and satisfying some continuity conditions. Then the martingale property is imposed, obtaining different classes of martingale differential forms. The main difference with the classical theory of differential forms is the lack of an integral representation formula for a martingale form, with respect to the differentials \(dt_{i_ 1}\wedge...\wedge dt_{i_ k}\). The relation of these martingale forms with the two-parameter martingales in the sense of \textit{R. Cairoli} and \textit{J. B. Walsh} [Acta Math. 134, 111-183 (1975; Zbl 0334.60026)] is discussed. A positive cochain, which plays the role of the quadratic variation for one-parameter martingales, can be associated with every martingale cochain. The last part of the article is devoted to study the exterior product of martingale cochains. The exterior product \(\phi\wedge M\) of a predictable function \(\phi\) and a martingale cochain M is defined by means of stochastic integrals. The exterior product of more general martingale forms is introduced by an approximation procedure. Finally a formula for the exterior derivative of an exterior product is discussed.