On the quadratic variation of two-parameter continuous martingales

DOI10.1214/AOP/1176993300zbMATH Open0538.60049OpenAlexW2118099679MaRDI QIDQ793438FDOQ793438

Authors: David Nualart 

Publication date: 1984

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993300

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zbMATH Keywords

sample continuitytwo-parameter Itô formula

Mathematics Subject Classification ID

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

Cited In (31)

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• Quasi-sure analysis of two-parameter stochastic differential equations
• A stochastic calculus for continuous N-parameter strong martingales
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• A property of two-parameter martingales with path-independent variation
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• Estimation of quadratic variation for two-parameter diffusions
• Variations quadratiques et inégalités pour les martingales a deux indices
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• On the relations between increasing functions associated with two- parameter continuous martingales
• Local time for processes indexed by a partially ordered set
• Local time for two-parameter continuous martingales with respect to the quadratic variation
• Exponential inequalities for two-parameter martingales
• On inequalities for two-parameter martingales
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• r-variations for two-parameter continuous martingales and Itô's formula
• The transformation theorem for two-parameter pure jump martingales
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• Kernel Density Estimation and Local Time
• Remarks on the class of continuous martingales with bounded quadratic variation
• Quadratic variation for a class of L lo\(g^ +\,L\)-bounded two-parameter martingales
• The continuity of the quadratic variation of two-parameter martingales
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• Regularity and decomposition of two-parameter supermartingales
• The quadratic variation of continuous time stochastic processes in vector lattices
• Quasi-sure product variation of two-parameter smooth martingales on the Wiener space
• Quadratic variation of martingales in Riesz spaces
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• Quadratic variation of local square strong martingale
• A class of two-parameter stochastic integrators
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