ON CORRELATION CALCULUS FOR MULTIVARIATE MARTINGALES

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:46

Article

DZHAPARIDZE, K ; SPREIJ, P

关键词: MARTINGALE;    QUADRATIC VARIATION;    CORRELATION;    MOORE-PENROSE INVERSE;   

DOI  :  10.1016/0304-4149(93)90008-R

来源: Elsevier

【 摘 要 】

In this paper the correlation between two multivariate martingales is studied. This correlation can be expressed in a nondecreasing process, that remains zero in the case of linear dependence. A key result is an integral representation for this process.

【 授权许可】

Free