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 |
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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 | |
Stato di pubblicazione | Pubblicato - 2006 |
All Science Journal Classification (ASJC) codes
- Algebra e Teoria dei Numeri
Keywords
- infinite-dimensional stochastic integration
- semimartingales