On correlation calculus for multivariate martingales

DOI10.1016/0304-4149(93)90008-RzbMath0779.60044OpenAlexW2016639249MaRDI QIDQ2368169

Kacha Dzhaparidze, Peter Spreij

Publication date: 19 September 1993

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(93)90008-r

zbMATH Keywords

Moore-Penrose inverselocally square integrable martingalesmeasure of deficiencypredictable covariation process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Related Items (3)

Application of Moore-Penrose inverse in deciding the minimal martingale measure ⋮ On optimality of regular projective estimators for semimartingale models, part ii: asymptotically linear estimators ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

Cites Work

• Inertia characteristics of self-adjoint matrix polynomials
• Point processes and queues. Martingale dynamics
• Unnamed Item

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