A generalized Itô formula for two-parameter martingales. II. (English. Russian original) Zbl 0629.60051

Mishura, Yu. S.

Theory Probab. Math. Stat. 32, 77-94 (1986); translation from Teor. Veroyatn. Mat. Stat. 32, 72-85 (1985).

This article is a continuation of the previous work of the author on the same subject [ibid. 30, 114-127 (1984; Zbl 0563.60047); English translation in Theory Probab. Math. Stat. 30, 127-142 (1985)]. The present paper is devoted to establish a change of variable formula for two-parameter martingales which can be decomposed into four orthogonal components, of which one is continuous and the others are expressed as stochastic integrals with respect to some integer-valued measures.

Reviewer: D.Nualart

MSC:

60G44	Martingales with continuous parameter
60H05	Stochastic integrals
60G60	Random fields

Keywords:

Itô-formula; change of variable formula for two-parameter martingales; stochastic integrals with respect to some integer-valued measures

Citations:

Zbl 0563.60047