Annals of Probability

Some Classes of Two-Parameter Martingales

Moshe Zakai

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Abstract

A class of two-parameter martingales, named "martingales with orthogonal increments" or "martingales of direction independent variation," is introduced. It is shown that this class, which is characterized by a sample function property, is included in the class of martingales of path independent variation and includes the class of strong martingales. The class of martingales with orthogonal increments is stable under stochastic integration and some results, which were obtained previously for strong martingales, hold also for martingales with orthogonal increments. It is shown that if $M_z$ is a martingale with orthogonal increments on the sigma-fields generated by the Wiener process then there exists a Wiener process such that $M_z$ can be represented as a stochastic integral of first type with respect to it.

Article information

Source
Ann. Probab., Volume 9, Number 2 (1981), 255-265.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176994466

Digital Object Identifier
doi:10.1214/aop/1176994466

Mathematical Reviews number (MathSciNet)
MR606987

Zentralblatt MATH identifier
0462.60055

JSTOR
links.jstor.org

Subjects
Primary: 60H05: Stochastic integrals
Secondary: 60G45

Keywords
Multiparameter martingales stable subspaces of martingales martingales of orthogonal increments

Citation

Zakai, Moshe. Some Classes of Two-Parameter Martingales. Ann. Probab. 9 (1981), no. 2, 255--265. doi:10.1214/aop/1176994466. https://projecteuclid.org/euclid.aop/1176994466


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