Stochastic calculus for signed measures
This paper deals with stochastic calculus under signed measures defined by their conditional densities. In this framework, the main tools of stochastic integration are constructed and results such as an Itô formula and a Girsanov theorem are proved. An analog of Paul Lévy's characterization theorem for the law of continuous martingales \(M_t\) with square bracket \([M]_t = t\) is also given, extending a similar result of \textit{J. Ruiz de Chávez} [in: Sémin. Probabilités XVIII, 1982/83. Lect. Notes Math. 1059, 245--255 (1984; Zbl 0537.60039)], and an application to complex measures is mentioned. For the entire collection see [Zbl 1003.00010].
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