Lifting theorems for some clases of two parameter martingales
By means of nonstandard analysis we establish some lifting theorerms for two parameter stochastic processes, for two parameter martingales and for weak, strong and i-martingales. We also prove that the standard part of an internal martingale is a standard larc martingale (a two parameter version of...
- Autores:
-
Muñoz de Özak, Myriam
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 1998
- Institución:
- Universidad Nacional de Colombia
- Repositorio:
- Universidad Nacional de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:repositorio.unal.edu.co:unal/43684
- Acceso en línea:
- https://repositorio.unal.edu.co/handle/unal/43684
http://bdigital.unal.edu.co/33782/
- Palabra clave:
- Strong
weak
lare and i-martingales
stochastic processes lifting of a strochastic process and of a martingale
stochastic integration
nonstandard analysis
Brownian motion
- Rights
- openAccess
- License
- Atribución-NoComercial 4.0 Internacional
| Summary: | By means of nonstandard analysis we establish some lifting theorerms for two parameter stochastic processes, for two parameter martingales and for weak, strong and i-martingales. We also prove that the standard part of an internal martingale is a standard larc martingale (a two parameter version of a cadlag martingale). A basic nonstandard two parameter stochastic integral is introduced. An integral representation of Wong and Zakai proves to be a very useful tool for our purposes. |
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