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ON SETS OF LAWS OF CONTINUOUS MARTINGALES.
- Source :
-
Theory of Probability & Its Applications . 2021, Vol. 65 Issue 4, p652-655. 4p. - Publication Year :
- 2021
-
Abstract
- We prove that the set of laws of stochastic integrals H ·W, where W is a multidimensional Wiener process and H2 takes values in a compact convex subset D of the set of symmetric positive semidefinite matrices, is weakly dense in the set of laws of martingales M with d⟨M⟩/dt taking values in D. [ABSTRACT FROM AUTHOR]
- Subjects :
- *STOCHASTIC integrals
*MARTINGALES (Mathematics)
*WIENER processes
Subjects
Details
- Language :
- English
- ISSN :
- 0040585X
- Volume :
- 65
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Theory of Probability & Its Applications
- Publication Type :
- Academic Journal
- Accession number :
- 148695128
- Full Text :
- https://doi.org/10.1137/S0040585X97T990198