On a martingale characterization of two-parameter Wiener process
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The author considers standard Brownian sheet W on the plane as the ordered pair \(W=(W^{\to},W^{\uparrow})\), where \(W^{\to}\), \(W^{\uparrow}\) are its wave components. He introduces the notion of string-martingale M in the terms of its wave components \(M^{\to}\), \(M^{\uparrow}\) and gives the characterization of W as string-martingale M with continuous wave components and with the property \[ E((M(\Delta))^ 2/{\mathcal A}_ s)=area(\Delta), \] where \(\Delta\) is a standard triangle.
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(7)- Identification of an isometric transformation of the standard Brownian sheet
- scientific article; zbMATH DE number 4201277 (Why is no real title available?)
- Two parameter smooth martingales on the Wiener space
- scientific article; zbMATH DE number 224169 (Why is no real title available?)
- Martingales generated by to restriction of Wiener field on the closed curves
- On eigenvalues of the Brownian sheet matrix
- A martingale characterization of the Wiener process
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