ON A MARTINGALE CHARACTERIZATION OF 2-PARAMETER WIENER PROCESS

被引：2
|
作者：
CABANA, EM
机构：
[1] Universidad de la República, Centro de Matemática, Montevideo
来源：
STATISTICS & PROBABILITY LETTERS | 1990年 / 10卷 / 03期
关键词：
martingales; string-martingales; Two-parameter Wiener process; vibrating string forced by noise;
D O I：
10.1016/0167-7152(90)90084-K
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A generalization of martingales, named string-martingales in this paper, is introduced for two-dimensional-parameter processes. The two-parameter standard Wiener process is then characterised as a strong-martingale with continuous paths, and an additional property which states that a sort of quadratic variation of the process is deterministic, and given by the Lebesque measure. © 1990.
引用
收藏
页码：263 / 270
页数：8
相关论文
共 50 条
12345