VII: 14, 136-145, LNM 321 (1973)
MEYER, Paul-André
Le dual de $H^1$ est $BMO$ (cas continu) (
Martingale theory)
The basic results of Fefferman and Fefferman-Stein on functions of bounded mean oscillation in $
R$ and $
R^n$ and the duality between $BMO$ and $H^1$ were almost immediately translated into discrete martingale theory by Herz and Garsia. The next step, due to Getoor-Sharpe ({\sl Invent. Math.}
16, 1972), delt with continuous martingales. The extension to right continuous martingales, a good exercise in martingale theory, is given here
Comment: See
907 for a correction. This material has been published in book form, see for instance Dellacherie-Meyer,
Probabilités et Potentiel, Vol. B, Chapter VII
Keywords: $BMO$,
Hardy spaces,
Fefferman inequalityNature: 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
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 Retrieve article from Numdam
