I: 06, 72-162, LNM 39 (1967)
MEYER, Paul-André
Intégrales stochastiques I--IV (4 talks) (
Martingale theory,
Stochastic calculus)
This series presents an expanded exposition of the celebrated paper of Kunita-Watanabe (
Nagoya Math. J. 30, 1967) on square integrable martingales. The filtration is assumed to be free from fixed times of discontinuity, a restriction lifted in the modern theory. A new feature is the definition of the second increasing process associated with a square integrable martingale (a ``square bracket'' in the modern terminology). In the second talk, stochastic integrals are defined with respect to local martingales (introduced from Ito-Watanabe,
Ann. Inst. Fourier, 15, 1965), and the general integration by parts formula is proved. Also a restricted class of semimartingales is defined and an ``Ito formula'' for change of variables is given, different from that of Kunita-Watanabe. The third talk contains the famous Kunita-Watanabe theorem giving the structure of martingale additive functionals of a Hunt process, and a new proof of Lévy's description of the structure of processes with independent increments (in the time homogeneous case). The fourth talk deals mostly with Lévy systems (Motoo-Watanabe,
J. Math. Kyoto Univ.,
4, 1965; Watanabe,
Japanese J. Math.,
36, 1964)
Comment: This paper was a step in the development of stochastic integration. Practically every detail of it has been reworked since, starting with Doléans-Dade-Meyer
409. Note a few corrections in Meyer
312Keywords: Square integrable martingales,
Angle bracket,
Stochastic integralsNature: Exposition,
Original additions
Retrieve article from Numdam
X: 04, 40-43, LNM 511 (1976)
KAZAMAKI, Norihiko
A simple remark on the conditioned square functions for martingale transforms (
Martingale theory)
This is a problem of discrete martingale theory, giving inequalities between the conditioned square funtions (discrete angle brackets) of martingale transforms of two martingales related through a change of time
Comment: The author has published a paper on a related subject in
Tôhoku Math. J.,
28, 1976
Keywords: Angle bracket,
InequalitiesNature: Original Retrieve article from Numdam
X: 17, 245-400, LNM 511 (1976)
MEYER, Paul-André
Un cours sur les intégrales stochastiques (6 chapters) (
Stochastic calculus,
Martingale theory,
General theory of processes)
This is a systematic exposition of the theory of stochastic integration with respect to semimartingales, with the exception of stochastic differential equations. Chapter I is devoted to a quick exposition of the general theory of processes, and of the trivial stochastic integral with respect to a process of finite variation. Chapter II is the Kunita-Watanabe theory of square integrables martingales, angle and square bracket, stable subspaces, compensated sums of jumps, and the corresponding $L^2$ theory of stochastic integration. Chapter III studies a restricted class of semimartingales and introduces the Ito formula, with its celebrated applications due to Watanabe, to Brownian motion and the Poisson process. Chapter IV localizes the theory and gives the general definitions of semimartingales and special semimartingales, and studies the stochastic exponential, multiplicative decomposition. It also sketches a theory of multiple stochastic integrals. Chapter V deals with the application of the spaces $H^1$ and $BMO$ to the theory of stochastic integration, and to martingales inequalities (it contains the extension to continuous time of Garsia's ``Fefferman implies Davis implies Burkholder'' approach). Chapter VI contains more special topics: Stratonovich integrals, Girsanov's theorem, local times, representation of elements of $BMO$
Comment: This set of lectures was well circulated in its time, an intermediate stage between a research paper and a polished book form. See also
1131. Now the material can be found in many books
Keywords: Increasing processes,
Stable subpaces,
Angle bracket,
Square bracket,
Stochastic integrals,
Optional stochastic integrals,
Previsible representation,
Change of variable formula,
Semimartingales,
Stochastic exponentials,
Multiplicative decomposition,
Fefferman inequality,
Davis inequality,
Stratonovich integrals,
Burkholder inequalities,
$BMO$,
Multiple stochastic integrals,
Girsanov's theoremNature: Exposition,
Original additions Retrieve article from Numdam
X: 18, 401-413, LNM 511 (1976)
PRATELLI, Maurizio
Sur certains espaces de martingales de carré intégrable (
Martingale theory)
The main purpose of this paper is to define spaces similar to the $H^p$ and $BMO$ spaces (which we may call here $h^p$ and $bmo$) using the angle bracket of a local martingale instead of the square bracket (this concerns only locally square integrable martingales). It is shown that for $1<p<\infty$ $h^p$ is reflexive with dual the natural $h^q$, and that the conjugate (dual) space of $h^1$ is $bmo$
Comment: This paper contains some interesting martingale inequalities, which are developed in Lenglart-Lépingle-Pratelli,
1404. An error is corrected in
1250Keywords: Inequalities,
Angle bracket,
$BMO$Nature: Original Retrieve article from Numdam
X: 21, 432-480, LNM 511 (1976)
YOEURP, Chantha
Décomposition des martingales locales et formules exponentielles (
Martingale theory,
Stochastic calculus)
It is shown that local martingales can be decomposed uniquely into three pieces, a continuous part and two purely discontinuous pieces, one with accessible jumps, and one with totally inaccessible jumps. Two beautiful lemmas say that a purely discontinuous local martingale whose jumps are summable is a finite variation process, and if it has accessible jumps, then it is the sum of its jumps without compensation. Conditions are given for the existence of the angle bracket of two local martingales which are not locally square integrable. Lemma 2.3 is the lemma often quoted as ``Yoeurp's Lemma'': given a local martingale $M$ and a previsible process of finite variation $A$, $[M,A]$ is a local martingale. The definition of a local martingale on an open interval $[0,T[$ is given when $T$ is previsible, and the behaviour of local martingales under changes of laws (Girsanov's theorem) is studied in a set up where the positive martingale defining the mutual density is replaced by a local martingale. The existence and uniqueness of solutions of the equation $Z_t=1+\int_0^t\tilde Z_s dX_s$, where $X$ is a given special semimartingale of decomposition $M+A$, and $\widetilde Z$ is the previsible projection of the unknown special semimartingale $Z$, is proved under an assumption that the jumps $ėlta A_t$ do not assume the value $1$. Then this ``exponential'' is used to study the multiplicative decomposition of a positive supermartingale in full generality
Comment: The problems in this paper have some relation with Kunita
1005 (in a Markovian set up), and are further studied by Yoeurp in LN
1118,
Grossissements de filtrations, 1985. The subject of multiplicative decompositions of positive submartingales is much more difficult since they may vanish. For a simple case see in this volume Yoeurp-Meyer
1023. The general case is due to Azéma (
Z. für W-theorie, 45, 1978, presented in
1321) See also
1622Keywords: Stochastic exponentials,
Multiplicative decomposition,
Angle bracket,
Girsanov's theorem,
Föllmer measuresNature: Original Retrieve article from Numdam
XII: 50, 739-739, LNM 649 (1978)
LÉPINGLE, Dominique
Correction au Séminaire X (
Martingale theory)
Corrects a detail in
1018Keywords: Inequalities,
Angle bracket,
$BMO$Nature: Correction Retrieve article from Numdam
