Stochastic Integral Representation of Functionals from a Sequence of Martingales

Franz Konecny
Additional contact information
Franz Konecny: Universität für Bodenkultur

A chapter in Probability and Statistical Inference, 1982, pp 171-182 from Springer

Abstract: Abstract In this paper we will prove that every square-integrable functional of a sequence of local martingales satisfying some additional conditions has a representation in terms of stochastic integrals. A corresponding result is true for martingales with respect to the natural reference family.

Date: 1982
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-94-009-7840-9_16

Ordering information: This item can be ordered from
http://www.springer.com/9789400978409

DOI: 10.1007/978-94-009-7840-9_16

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().