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Complements sur les martingales conformes. (Complements on conformal martingales). (French) Zbl 0621.60055
This is a study of continuous semimartingales $$M_ t(\omega)$$ and in particular of conformal martingales which take values in an N-dimensional complex manifold V, and which are defined for (t,$$\omega)$$ in some open subset $$A\subset {\mathbb{R}}_+\times \Omega$$. It continues the authors work ”Semimartingales sur des variétés, et martingales conformes sur des variétés analytiques complexes.” Lecture Notes Math. 780 (1980; Zbl 0433.60047).
$$\{$$ $$M_ t,t\geq 0\}$$ is a conformal martingale if, roughly, $$f(M_ t)$$ is an ordinary conformal martingale for each holomorphic f on V. This definition is localized to handle processes defined on random parameter sets, and various alternative characterizations are discussed.
In particular, the author gives a characterization of conformal martingales which used the 2 tangent space $$T^{2,0}(V)$$. Since this avoids mention of holomorphic functions it applies to V which are not Stein manifolds and which may not have enough globally-defined holomorphic functions.
A quite different characterization uses connections: a V-semimartingale is conformal iff it is a martingale for all $$C^{\infty}$$ connections compatible with the complex structure.
The final section addresses the question of semimartingale extensions: when can a semimartingale defined on the half open stochastic interval [S,T) be extended to the closed interval [S,T]?
Reviewer: J.Walsh

##### MSC:
 60G48 Generalizations of martingales 60H99 Stochastic analysis 60G44 Martingales with continuous parameter 32C99 Analytic spaces
##### Keywords:
semimartingales; conformal martingales; Stein manifolds