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Proceedings of the American Mathematical Society
Proceedings of the American Mathematical Society
ISSN 1088-6826(online) ISSN 0002-9939(print)

 

Commutation of variation and dual projection


Author: David Neal
Journal: Proc. Amer. Math. Soc. 123 (1995), 1591-1595
MSC: Primary 60G07; Secondary 60G57
MathSciNet review: 1242100
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Abstract: For a raw process of integrable variation V, taking values in a Banach space E having the Radon-Nikodyn property, the variation of the predictable (optional) dual projection is the predictable (optional) dual projection of the variation. An analogous result holds for the associated stochastic measures. The result is applied to the stochastic integral of a real, optional process H with respect to V when V is adapted.


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Additional Information

DOI: http://dx.doi.org/10.1090/S0002-9939-1995-1242100-0
PII: S 0002-9939(1995)1242100-0
Keywords: Dual projections, variation, stochastic measures, optional stochastic integral
Article copyright: © Copyright 1995 American Mathematical Society