Stochastic Integrals of Continuous Local Martingales, I

DOI10.1002/MANA.19800970128MaRDI QIDQ3900762zbMATH OpenOpenAlexFDO

Authors H.-J. Engelbert, Juliane Hess

Publication date 1980

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19800970128

zbMATH Keywords

continuous local martingalemethod of random time changerepresentation problem

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites work

• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
• On Square Integrable Martingales
• Sur l'etude des martingales continues extrêmales

Cited in

(8)

• A canonical setting and separating times for continuous local martingales
• The predictable representation property of compensated-covariation stable families of martingales
• On solutions of one-dimensional stochastic differential equations without drift
• On a generalization of the theorem of p. levy
• Integral representation with respect to stopped continuous local martingales
• On driftless one-dimensional sdes with time-dependent diffusion coefficients
• On the predictable representation property of martingales associated with Lévy processes
• On exponential local martingales associated with strong Markov continuous local martingales

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