Abstract
In section one, $L_1$ bounds are obtained for transforms of discrete parameter martingales having independent increments. Section two develops the theory of quadratic variation for continuous parameter martingales having independent increments. An application of the results of these two sections to the theory of stochastic integrals appears in section three.
Citation
P. Warwick Millar. "Martingales with Independent Increments." Ann. Math. Statist. 40 (3) 1033 - 1041, June, 1969. https://doi.org/10.1214/aoms/1177697607
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