1997/50/1-2 (2) — DOI: 10.5486/PMD.1997.1645 — pp. 17-27
Full Text Abstract

Mean-square derivative of a linear non-anticipative transformation of a continuous martingale

Authors: Zoran Ivković, Predrag Peruničić and Dražen Pantić

Keywords: non-anticipating linear process, wide-sense martingale, differentiability, canonical representation

Mathematics Subject Classification: 60G12, 60G44, 60G46