Document Type
Article
Publication Date
1-1-2018
Abstract
In this paper we discuss the new stochastic integral in [1] in terms of the Itô isometry. We prove the Doob-Meyer decomposition theorem for near-submartingales in the classes (D) and (DL): Moreover, we introduce a stochastic integral by a near-martingale as an application of the decomposition theorem.
Publication Source (Journal or Book title)
Communications on Stochastic Analysis
First Page
197
Last Page
213
Recommended Citation
Hibino, S., Kuo, H., & Saitô, K. (2018). A stochastic integral by a near-martingale. Communications on Stochastic Analysis, 12 (2), 197-213. https://doi.org/10.31390/cosa.12.2.07
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