Une formule d'Itô pour les martingales continues à deux indices et quelques applications

zbMATH Open0543.60062MaRDI QIDQ796177FDOQ796177

Authors: David Nualart 

Publication date: 1984

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1984__20_3_251_0

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zbMATH Keywords

continuity and regularity of the local timemartingales inequalitiesmaximal inequality for stochastic integralstwo-parameter continuous martingalesItô differentiation formula

Mathematics Subject Classification ID

Random fields (60G60) Random measures (60G57) Stochastic integrals (60H05)

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• A stochastic calculus for continuous N-parameter strong martingales
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• Stochastic integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths
• r-variations for two-parameter continuous martingales and Itô's formula
• The transformation theorem for two-parameter pure jump martingales
• Ito's formula for two-parameter stochastic integrals with respect to martingale measures
• A generalized Itô's formula in two-dimensions and stochastic Lebesgue-Stieltjes integrals
• The continuity of the quadratic variation of two-parameter martingales
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• Local times of continuous N-parameter strong martingales
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