Title

A stochastic integral by a near-martingale

Document Type

Article

Publication Date

1-1-2018

Abstract

In this paper we discuss the new stochastic integral in [1] in terms of the Itô isometry. We prove the Doob-Meyer decomposition theorem for near-submartingales in the classes (D) and (DL): Moreover, we introduce a stochastic integral by a near-martingale as an application of the decomposition theorem.

Publication Source (Journal or Book title)

Communications on Stochastic Analysis

First Page

197

Last Page

213

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