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.
|Titolo della pubblicazione ospite||Lecture Notes in Mathematics. Seminaire de Probabilites XXXIX|
|Numero di pagine||17|
|Stato di pubblicazione||Pubblicato - 2006|
- infinite-dimensional stochastic integration, semimartingales