Nagoya Mathematical Journal · 1967 · 627 citations · 7 references
EngineeringMathematicsProbability TheoryStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesMarkov ProcessesStochastic CalculusStochastic Differential EquationsMartingale TheoryMartingalesStochastic IntegralsStochastic Integration
Theory of real and time continuous martingales has been developed recently by P. Meyer [8, 9]. Let be a square integrable martingale on a probability space P . He showed that there exists an increasing process ‹X› t such that
7
Lester E. Dubins, Gideon Schwarz · Proceedings of the National Academy of Sciences · 1965 · 184 citations
A decomposition theorem for supermartingales
P. A. Meyer · Illinois Journal of Mathematics · 1962 · 153 citations · Full text