r-variations for two-parameter continuous martingales and itô's formula

Marta Sanz

Stochastic Processes and their Applications, 1989, vol. 32, issue 1, 69-92

Abstract: Different kinds of variations associated with a continuous two-parameter martingale bounded in L4 are studied. As an application a "compact" Itô formula and a version of a two-parameter Tanaka formula are proved.

Keywords: two-parameter; continuous; martingales; r-variations; martingale; inequalities; Ito's; formula (search for similar items in EconPapers)
Date: 1989
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