The generalized Ito formula for two-parametric martingales. (Russian) Zbl 0563.60047

Mishura, Yu. S.

Teor. Veroyatn. Mat. Stat. 30, 114-127 (1984).

The paper studies properties of discontinuous martingales and martingale measures on the plane. In particular, the author proves Ito’s formula for certain discontinuous random fields and two-parameter martingales.

Reviewer: Y.Kifer

MSC:

60G48	Generalizations of martingales
60G60	Random fields
60G57	Random measures

Keywords:

martingale measures on the plane; Ito’s formula; two-parameter martingales