一类两参数指数鞅

A CLASS OF TWO-PARAMETER EXPONENTIAL MARTINGALES

设W=(W_z:z∈R_(zo))是关于L-S测度F的广义Brown单,本文证明了当X是两参数循序可测的Ganss过程,且时,则两参数指数过程是Rzo上的一强鞅。

Suppose that W=(W_z; z∈R_(zo)) is a continnous generafized Brownian sheet with respect to L-S measure F on R_(zo). The purpose of this paper of this paper is to prove that if X is a progressively measurable Goussian process and the condition P(?)=1 hotds, then the two-parameter exponential process Z_(st)=exp, dF(u, v)) ((s,t)∈R_(zo)) is a strong martingale.