Square integrable martingales orthogonal to every stochastic integral

K. R. Parthasarathy

Stochastic Processes and their Applications, 1978, vol. 7, issue 1, 1-7

Abstract: Examples of square integrable martingales adapted to processes with independent increments and orthogonal to all stochastic integrals are constructed. If every square integrable martingale adapted to a process with stationary independent increments is a stochastic integral it is shown that the process must be a Wiener process.

Date: 1978
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