正交增量鞅的平方变差和混合积分

The Quadratic Variation and Mixed Integrals of the Martingales with Orthogonal Increments

研究了二参数正交增量鞅的平方变差和混合积分,证明了平方变差的存在定理。对连续的平方可积强鞅的混合积分的四个基本性质推广到对连续的正交增量鞅的混合积分的情形。

The quadratic variation and mixed integrals of the martingales with orthogonal increments are studied. The theorem for the existence of quadratic variation is proved. The four basic properties of mixed integrals for the continuous square integrable strong martingales are applied further to continuous martingales with orthogonal increments.