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

DOI10.1016/0304-4149(89)90054-9zbMath0675.60041OpenAlexW2017459267MaRDI QIDQ1122218

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

Itô's formulatwo-parameter continuous semimartingalestwo-parameter version of Tanaka's formula

Mathematics Subject Classification ID

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

Related Items (2)

Quasi-sure product variation of two-parameter smooth martingales on the Wiener space ⋮ Estimation of quadratic variation for two-parameter diffusions

Cites Work

• On the relations between increasing functions associated with two- parameter continuous martingales
• On the quadratic variation of two-parameter continuous martingales
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• A stochastic calculus for continuous N-parameter strong martingales
• Stochastic integrals in the plane
• [https://portal.mardi4nfdi.de/wiki/Publication:3317833 Semi-martingales index�es par une partie de ?d et formule de lto. Cas continu]
• Variations quadratiques et inégalités pour les martingales a deux indices
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