On quadratic variation of martingales

DOI10.1007/s12044-014-0179-2zbMath1308.60050OpenAlexW2004572462MaRDI QIDQ2253703

B. V. Rao, Rajeeva L. Karandikar

Publication date: 12 February 2015

Published in: Proceedings of the Indian Academy of Sciences. Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12044-014-0179-2

zbMATH Keywords

Doob-Meyer decompositionquadratic variationright-continuous-with-left-limits (r.c.l.l.) martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Sample path properties (60G17) Stochastic integrals (60H05)

Related Items (5)

On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation ⋮ Reproducing kernels and choices of associated feature spaces, in the form of \(L^2\)-spaces ⋮ Remarks on the stochastic integral ⋮ Stochastic integrals and two filtrations ⋮ Quadratic variation and quadratic roughness

Cites Work

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• A short proof of the Doob-Meyer theorem
• On the quadratic variation process of a continuous martingale
• Stochastic integration w.r.t. continuous local martingales
• On pathwise stochastic integration
• A decomposition theorem for supermartingales
• Decomposition of supermartingales: The uniqueness theorem
• The Doob-Meyer Decomposition Revisited
• On Decomposition Theorems of Meyer.

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