Abstract Vector measures induced by stochastic processes, especially martingales, have been discussed by several authors ([2], [3], [5]), primarily in the context of stochastic integration. Our purpose here is to invetigate some of their properties, including differentiation and the Radon-Nikodym property. Our approach combines methods drawn from the existing literature with several new techniques.
Differentiation of measures related to stochastic processes
1982-01-01
7 pages
Aufsatz/Kapitel (Buch)
Elektronische Ressource
Englisch
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