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On the Quadratic Variation of Two-Parameter Continuous Martingales

Nualart, David
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Abstract
Let M={M(z),z∈[0,1]2} be a two-parameter square integrable continuous martingale. We prove the sample continuity of the quadratic variation of M using an Ito's differentiation formula for M2.
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This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176993300.
Date
1984-02-02
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Institute of Mathematical Statistics (IMS)
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Mathematics Scholarly Works
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NualartD_AP_12(2)445.pdf
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Keywords
Two-parameter martingales, quadratic variation
Citation
Nualart, D. On the Quadratic Variation of Two-Parameter Continuous Martingales. Ann. Probab. 12 (1984), no. 2, 445--457. http://dx.doi.org/10.1214/aop/1176993300.
URI
https://hdl.handle.net/1808/17067
DOI
10.1214/aop/1176993300
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