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 originaleInglese
Titolo della pubblicazione ospiteLecture Notes in Mathematics. Seminaire de Probabilites XXXIX
EditoreSpringer
Pagine121-137
Numero di pagine17
Volume1874
ISBN (stampa)978-354030994-9
DOI
Stato di pubblicazionePubblicato - 2006

All Science Journal Classification (ASJC) codes

  • Algebra e Teoria dei Numeri

Keywords

  • infinite-dimensional stochastic integration
  • semimartingales

Fingerprint

Entra nei temi di ricerca di 'Stochastic integration with respect to a sequence of semimartingales'. Insieme formano una fingerprint unica.

Cita questo