Acta mathematica scientia,Series B ›› 1994, Vol. 14 ›› Issue (2): 167-173.
• Articles • Previous Articles Next Articles
Hu Bijin
Received:
Online:
Published:
Abstract: This paper discusses the property of semimartingales of B-valued R. R. C. process W, and the relation between this property and critical stopping time σẇ of W after giving the definition of σẇ and the structural approach to σẇ. A conclusion is drawn from this paper that the process W being a non-semimartingale is characterized by P(σẇ<∞) > 0.Finally, two kinds of vector valued processes with R-control process are discussed, and they are shown to be non-semimartingales by the use of Theorem 2 in this paper.
Hu Bijin. CRITICAL STOPPING TIMES AND SEMIMARTINGALESOF STOCHASTIC PROCESSES[J].Acta mathematica scientia,Series B, 1994, 14(2): 167-173.
0 / / Recommend
Add to citation manager EndNote|Reference Manager|ProCite|BibTeX|RefWorks
URL: http://121.43.60.238/sxwlxbB/EN/
http://121.43.60.238/sxwlxbB/EN/Y1994/V14/I2/167
Cited