Korean Journal of Mathematics

The Kangwon-Kyungki Mathematical Society (강원경기수학회)
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ON MARTINGALE PROPERTY OF THE STOCHASTIC INTEGRAL EQUATIONS

  • Received : 2015.09.06
  • Accepted : 2015.09.14
  • Published : 2015.09.30
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Abstract

A martingale is a mathematical model for a fair wager and the modern theory of martingales plays a very important and useful role in the study of the stochastic fields. This paper is devoted to investigate a martingale and a non-martingale on the several stochastic integral or differential equations. Specially, we show that whether the stochastic integral equation involving a standard Wiener process with the associated filtration is or not a martingale.

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References

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