On correlation calculus for multivariate martingales

Kacha Dzhaparidze and Peter Spreij

Stochastic Processes and their Applications, 1993, vol. 46, issue 2, 283-299

Abstract: In this paper the correlation between two multivariate martingales is studied. This correlation can be expressed in a nondecreasing process, that remains zero in the case of linear dependence. A key result is an integral representation for this process.

Keywords: martingale; quadratic; variation; correlation; Moore-Penrose; inverse (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (3)

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