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.


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    Title :

    Differentiation of measures related to stochastic processes


    Contributors:


    Publication date :

    1982-01-01


    Size :

    7 pages





    Type of media :

    Article/Chapter (Book)


    Type of material :

    Electronic Resource


    Language :

    English