On Smooth Martingales
نویسندگان
چکیده
منابع مشابه
Generalization of Itô’s formula for smooth nondegenerate martingales
In this paper we prove the existence of the quadratic covariation [(@F=@xk)(X ); X k ] for all 16k6d, where F belongs locally to the Sobolev space W(R) for some p¿d and X is a d-dimensional smooth nondegenerate martingale adapted to a d-dimensional Brownian motion. This result is based on some moment estimates for Riemann sums which are established by means of the techniques of the Malliavin ca...
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ژورنال
عنوان ژورنال: Journal of Functional Analysis
سال: 1994
ISSN: 0022-1236
DOI: 10.1006/jfan.1994.1023