Stochastic integration with respect to a sequence of semimartingales

Marzia De Donno; M. PRATELLI

doi:10.1007/978-3-540-35513-7_10

Stochastic integration with respect to a sequence of semimartingales

Marzia De Donno, M. PRATELLI

Risultato della ricerca: Contributo in libro › Capitolo

6 Citazioni (Scopus)

Abstract

We propose a theory of stochastic integration with respect to a sequence of semimartingales. We show that, with our definition, the stochastic integral keeps some good\r\nproperties of the integral with respect to a finite-dimensional semimartingale, such as invariance with respect to a change in probability and the so-called “Mémin’s theorem”, but it also presents\r\n some “bad properties”, which will be pointed out by some examples.

Lingua originale	Inglese
Titolo della pubblicazione ospite	Lecture Notes in Mathematics. Seminaire de Probabilites XXXIX
Editore	Springer
Pagine	121-137
Numero di pagine	17
Volume	1874
ISBN (stampa)	978-354030994-9
DOI	https://doi.org/10.1007/978-3-540-35513-7_10
Stato di pubblicazione	Pubblicato - 2006

All Science Journal Classification (ASJC) codes

Algebra e Teoria dei Numeri

Keywords

infinite-dimensional stochastic integration
semimartingales

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10.1007/978-3-540-35513-7_10

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author = "{De Donno}, Marzia and M. PRATELLI",

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AU - PRATELLI, M.

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KW - infinite-dimensional stochastic integration

KW - semimartingales

KW - infinite-dimensional stochastic integration

KW - semimartingales

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BT - Lecture Notes in Mathematics. Seminaire de Probabilites XXXIX

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Stochastic integration with respect to a sequence of semimartingales

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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