A Heisenberg Inequality for Stochastic Integrals

C. Mueller () and A. Stan ()
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C. Mueller: University of Rochester
A. Stan: University of Rochester

Journal of Theoretical Probability, 2005, vol. 18, issue 2, 291-315

Abstract: Abstract Using the products of exponential functions, a family of unitary operators will be defined for all square integrable continuous martingale processes having a deterministic quadratic variation. A Heisenberg inequality for stochastic integrals will be proved using this family of operators.

Keywords: Martingale; Itô’s formula; commutation relationship; unitary operator; Schwarz inequality; Heisenberg inequality (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/s10959-004-2605-3

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