The transformation theorem for two-parameter pure jump martingales

DOI10.1007/BF01198787MaRDI QIDQ2277658zbMATH OpenOpenAlexFDO

Authors P. Imkeller

Publication date 1991

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01198787

zbMATH Keywords

stochastic integratorsgeneral transformation formulamartingale of pure jump type

Mathematics Subject Classification ID

Random fields (60G60) Martingales with continuous parameter (60G44)

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Cites work

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• A class of two-parameter stochastic integrators
• Calcul stochastique et problèmes de martingales
• Differentiation formulas for stochastic integrals in the plane
• On regularity of multiparameter amarts and martingales
• On the quadratic variation of two-parameter continuous martingales
• Stochastic integrals in the plane
• Stochastic integrals of point processes and the decomposition of two- parameter martingales
• Two-parameter martingales and their quadratic variation
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• Weak martingales and stochastic integrals in the plane
• Équations du filtrage pour un processus de poisson mélangé á deux indices

Cited in

(3)

• Martingale field transformations under a change of probability measure
• scientific article; zbMATH DE number 3923783 (Why is no real title available?)
• On the transformation of martingales with a two dimensional parameter set by convex functions

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