Worthy martingales and integrators

Ely Merzbach and Moshe Zakai

Statistics & Probability Letters, 1993, vol. 16, issue 5, 391-395

Abstract: The class of worthy martingales parameterized by time and a general state space was introduced by Walsh (Lecture Notes in Math. No. 1180, 1986). It serves as a class of L2-stochastic integrators which seem natural for modelling the driving force in stochastic partial differential equations. Here we extend this class and show that this extension yields the most general class of L2-martingale integrators.

Keywords: Worthy; martingale; integrator; stochastic; integral; bimeasure; predictable; [sigma]-field (search for similar items in EconPapers)
Date: 1993
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