Planar semi-martingales

Michael D. Brennan

Journal of Multivariate Analysis, 1979, vol. 9, issue 4, 465-486

Abstract: The concept of a semi-martingale is extended to processes with index set in the plane. The definitions of planar semi-martingales are similar to those of two parameter bounded variation. Necessary and sufficient conditions for a Doob-Meyer decomposition are obtained, and a maximal inequality and almost everywhere convergence theorem is given for planar semi-martingales in LlogL.

Keywords: Planar; semi-martingales; process; of; bounded; variation; normal; H-process; maximal; inequality; almost; everywhere; convergence (search for similar items in EconPapers)
Date: 1979
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Citations: View citations in EconPapers (1)

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