r-variations for two-parameter continuous martingales and Itô's formula

DOI10.1016/0304-4149(89)90054-9MaRDI QIDQ1122218zbMATH OpenOpenAlexFDO

Authors Marta Sanz-Solé

Publication date 1989

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

Full work available at URL https://doi.org/10.1016/0304-4149(89)90054-9

zbMATH Keywords

two-parameter continuous semimartingalestwo-parameter version of Tanaka's formulaItô's formula

Mathematics Subject Classification ID

Random fields (60G60) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 3776594 (Why is no real title available?)
• scientific article; zbMATH DE number 3583004 (Why is no real title available?)
• A stochastic calculus for continuous N-parameter strong martingales
• On the quadratic variation of two-parameter continuous martingales
• On the relations between increasing functions associated with two- parameter continuous martingales
• Semi-martingales index�es par une partie de ?d et formule de lto. Cas continu
• Stochastic integrals in the plane
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• Variations quadratiques et inégalités pour les martingales a deux indices

Cited in

(10)

• A class of two-parameter stochastic integrators
• scientific article; zbMATH DE number 4024424 (Why is no real title available?)
• On compact Itô's formulas for martingales of \(m_ c^ 4\)
• Formules de changement de variables
• Estimation of quadratic variation for two-parameter diffusions
• scientific article; zbMATH DE number 3897943 (Why is no real title available?)
• Ito's formula for two-parameter stochastic integrals with respect to martingale measures
• Ito's formula for continuous (N,d)-processes
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• Quasi-sure product variation of two-parameter smooth martingales on the Wiener space

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