Riemann-Stieltjes quasi-martingale integration

Stochastic integration of left continuous integrands with respect to quasimartingales is developed as the pathwise limit of Riemann-Stieltjes sums. The procedure is extended to right continuous integrands.

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Year of publication:	1980
Authors:	Brennan, Michael D.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 10.1980, 4, p. 517-538
Publisher:	Elsevier
Subject:	Stochastic integral quasi-martingale

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106972