Stochastic Integrals of Continuous Local Martingales, II

DOI10.1002/MANA.19811000115MaRDI QIDQ3918828zbMATH OpenOpenAlexFDO

Authors H.-J. Engelbert, Juliane Hess

Publication date 1981

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/mana.19811000115

zbMATH Keywords

conditionally independent incrementslocal martingalestochastic continuous Gaussian martingales

Mathematics Subject Classification ID

Gaussian processes (60G15) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Stochastic integrals (60H05)

Cited in

(12)

• A canonical setting and separating times for continuous local martingales
• On solutions of stochastic differential equations with drift
• Pathwise uniqueness for a degenerate stochastic differential equation
• A Note on One-Dimensional Stochastic Equations
• On solutions of one-dimensional stochastic differential equations without drift
• Skew brownian motion and a one dimensional stochastic differential equation
• Integral representation with respect to stopped continuous local martingales
• On driftless one-dimensional sdes with time-dependent diffusion coefficients
• Construction of local solutions to sde's with singular drift
• On the Euler-Maruyama scheme for degenerate stochastic differential equations with non-sticky condition
• On the predictable representation property of martingales associated with Lévy processes
• On the representation property for 1D general diffusion semimartingales

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