Set indexed strong martingales and path independent variation

DOI10.1016/J.SPL.2008.12.014MaRDI QIDQ1012109zbMATH OpenOpenAlexFDO

Authors Arthur Yosef

Publication date 14 April 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.12.014

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Generalizations of martingales (60G48)

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Cites work

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• A characterization of the set-indexed fractional Brownian motion by increasing paths
• A compensator characterization of point processes on topological lattices
• Different kinds of two-parameter martingales
• Set-Indexed Itô Calculus Along Paths
• Set-indexed Brownian motion on increasing paths
• Some classes of two-parameter martingales
• Stochastic integrals in the plane
• What is a multi-parameter renewal process?

Cited in

(8)

• Strong martingales: Their decompositions and quadratic variation
• Supermartingale decomposition with a general index set
• Asymptotic behavior of continuous set-indexed martingales
• A strong Markov property for set-indexed processes
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• Karhunen-Loève expansion of a set indexed fractional Brownian motion
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