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Abstract: Some classes of increment martingales, and the corresponding localizedclasses, are studied. An increment martingale is indexed by the real line andits increment processes are martingales. We focus primarily on the behavior astime goes to minus infinity in relation to the quadratic variation or thepredictable quadratic variation, and we relate the limiting behavior to themartingale property. Finally, integration with respect to an incrementmartingale is studied.



Autor: Andreas Basse-O'Connor, Svend-Erik Graversen, Jan Pedersen

Fuente: https://arxiv.org/







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