On the relations between increasing functions associated with two-parameter continuous martingales

D. Nualart, M. Sanz and M. Zakai

Stochastic Processes and their Applications, 1990, vol. 34, issue 1, 99-119

Abstract: In this paper we study the relation between different quadratic variations associated with a two-parameter continuous martingale in terms of the "absolute continuity" property. We give an application to the problem of defining a suitable local time for this kind of processes.

Keywords: two-parameter; martingales; quadratic; variation; absolute; continuity; local; time (search for similar items in EconPapers)
Date: 1990
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