Set indexed strong martingales and path independent variation

Arthur Yosef

Statistics & Probability Letters, 2009, vol. 79, issue 8, 1083-1088

Abstract: In this paper, I extend the result that any strong martingale shows path independent variation, which was introduced by Cairoli and Walsh for the plane, to set indexed strong martingales, and I also analyse the connection between path independent variation and independent increment set indexed processes.

Date: 2009
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