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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 17, Pages 13–20 (Mi vtpmk296)
Probabilistic-statistical models

On the structure of Hilbert-valued martingales

V. V. Lavrent'ev

Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: In this paper, we define the integral over the random measure for Hilbert-valued functions and derive the expansion of Hilbert-valued local martingales by means of stochastic integrals.

Keywords: martingale, Hilbert space, random measure.

UDC: 519.216.8

Received: 08.04.2010
Revised: 15.04.2010



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