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Martingale product identity

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Stochastic calculus Quadratic variation Quadratic covariation
2026-09-24  0 By others on same topic  0 Discussions Create my own version
For continuous local martingales M and N, the Itô product rule says that
Mt​Nt​−M0​N0​−[M,N]t​
(1)
is a local martingale. If the martingales are square-integrable and converge in L2, then
E[M∞​N∞​]=E[M0​N0​]+E[M,N]∞​.
(2)

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  1. Quadratic covariation
  2. Quadratic variation
  3. Stochastic calculus
  4. Stochastic process
  5. Probability theory
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  • Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 202 / 2 / c / i / Solution

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