关于一类两指标鞅的随机积分  

ON STOCHASTIC INTEGRAL FOR TWO-PARAMETER MARTINGALE

作　　者：罗毅[1] 聂赞坎[1] 

机构地区：[1]西安交通大学

出　　处：《工程数学学报》1991年第3期51-60,共10页Chinese Journal of Engineering Mathematics

摘　　要：本文定义了有界可料过程对二指标L(log^+L)~3有界鞅的随机积分,并证明了有界可料过程对L(log^+L)~3有界鞅的随机积分是一个L(log^+L)有界鞅。This paper deals with the definition of stochastic integration of L(log + L)3 -bounded two-parameter martingale. Then, we proved that for any bounded previsiblc two-parameter processes F and L(Iog + L)3 -bounded two-parameter martingale M, the stochastic integration f.FdM is a L(log+ L)-bounded martingale.

关 键 词：两指标鞅 随机积分 有界鞅 

分 类 号：O211.6[理学—概率论与数理统计]