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JOURNALS // Vestnik TVGU. Seriya: Prikladnaya Matematika [Herald of Tver State University. Series: Applied Mathematics] // Archive

Vestnik TVGU. Ser. Prikl. Matem. [Herald of Tver State University. Ser. Appl. Math.], 2010, Issue 16, Pages 25–28 (Mi vtpmk287)

Probabilistic-statistical models

Decomposition of the samimartingals that take values in a separable Banach space

V. V. Lavrentyev

Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: In this paper clarifies the structure of semimartingales taking values in a separable Banach space, with a predictable process of locally bounded variation, locally square integrable martingale and stochastic integral with integer random measure of jumps.

Keywords: semimartingale, martingale, Banach space.

UDC: 519.216.8

Received: 09.02.2010
Revised: 20.02.2010



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