Stochastic integration with respect to a sequence of semimartingales

Marzia De Donno, Maurizio Pratelli

Risultato della ricerca: Contributo in libroChapter

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 properties 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 some “bad properties”, which will be pointed out by some examples.
Lingua originale English Lecture Notes in Mathematics. Seminaire de Probabilites XXXIX 121-137 17 1874 https://doi.org/10.1007/978-3-540-35513-7_10 Pubblicato - 2006

Keywords

• infinite-dimensional stochastic integration, semimartingales