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Stochastic integration w.r.t. continuous local martingales

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  • Karandikar, Rajeeva L.

Abstract

In this note we develop the theory of stochastic integration w.r.t. continuous local martingales using a simple time change technique. We allow progressively measurable integrands.

Suggested Citation

  • Karandikar, Rajeeva L., 1983. "Stochastic integration w.r.t. continuous local martingales," Stochastic Processes and their Applications, Elsevier, vol. 15(2), pages 203-209, July.
    • Handle: RePEc:eee:spapps:v:15:y:1983:i:2:p:203-209
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    Cited by:

    1. Karandikar, Rajeeva L., 1995. "On pathwise stochastic integration," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 11-18, May.

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