Riemann-Stieltjes quasi-martingale integration

Michael D. Brennan

Journal of Multivariate Analysis, 1980, vol. 10, issue 4, 517-538

Abstract: Stochastic integration of left continuous integrands with respect to quasimartingales is developed as the pathwise limit of Riemann-Stieltjes sums. The procedure is extended to right continuous integrands.

Keywords: Stochastic; integral; quasi-martingale (search for similar items in EconPapers)
Date: 1980
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