XIII: 35, 407-426, LNM 721 (1979)
YOR, Marc
En cherchant une définition naturelle des intégrales stochastiques optionnelles (
Stochastic calculus)
While the stochastic integral of a previsible process is a very natural object, the optional (compensated) stochastic integral is somewhat puzzling: it concerns martingales only, and depends on the probability law. This paper sketches a ``pedagogical'' approach, using a version of Fefferman's inequality for thin processes to characterize those thin processes which are jump processes of local martingales. The results of
1121,
1129 are easily recovered. Then an attempt is made to extend the optional integral to semimartingales
Keywords: Optional stochastic integrals,
Fefferman inequalityNature: Original
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