Bimeasures and measures induced by planar Stochastic integrators

Ely Merzbach and Moshe Zakai

Journal of Multivariate Analysis, 1986, vol. 19, issue 1, 67-87

Abstract: Two parameter Stochastic processes {Xz([omega]), [omega] [set membership, variant] [Omega], z [set membership, variant] +2} which are L2 integrators are characterized through associated bimeasures defined on the product spaces ([Omega] - +2) - ([Omega] - +2) and and [Omega] - +2 - +2. It is also shown that under further restrictions on the X process there exists an associated measure on these product spaces and Xz2 possesses a Doob-Meyer-Cairoli decomposition.

Keywords: Two-parameter; stochastic; integrators; bimeasures; functions; of; bounded; variation; Doob-Meyer-Cairoli; decomposition (search for similar items in EconPapers)
Date: 1986
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