On natural and predictable processes

DOI10.1007/s13171-015-0074-7zbMath1338.60104OpenAlexW1676008402MaRDI QIDQ288261

Victor M. Kruglov

Publication date: 25 May 2016

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-015-0074-7

zbMATH Keywords

stopping timemartingalenatural processpredictable process

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Foundations of stochastic processes (60G05)

Related Items (2)

On the martingale decompositions of Gundy, Meyer, and Yoeurp in infinite dimensions ⋮ Stochastic integrals and two filtrations

Cites Work

• A short proof of the Doob-Meyer theorem
• A decomposition theorem for supermartingales
• Decomposition of supermartingales: The uniqueness theorem
• An elementary approach to naturality, predictability, and the fundamental theorem of local martingales
• Foundations of Modern Probability
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