Stochastic integration with respect to a sequence of semimartingales

zbMATH Open1133.60026MaRDI QIDQ5294258FDOQ5294258

Authors: Marzia De Donno, M. Pratelli 

Publication date: 24 July 2007

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zbMATH Keywords

predictable processeschange of probabilitycylidrical stochastic integralssequence of square integrable martingales

Mathematics Subject Classification ID

Random measures (60G57) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cited In (16)

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• Stochastic product integral w.r.t. infinite dimensional semimartingale:ii–uniform operator topology case
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• BSDEs driven by cylindrical martingales with application to approximate hedging in bond markets
• A new perspective on the fundamental theorem of asset pricing for large financial markets
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
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• Pricing of contingent claims in large markets
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