On the Quadratic Variation of Two-Parameter Continuous Martingales
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1984-02-02Article Version
Scholarly/refereed, publisher version
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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.
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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.
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