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Martingale product identity
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)
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Probability and statistics
Probability theory
Stochastic process
Stochastic calculus
Quadratic variation
Quadratic covariation
2026-09-24
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For
continuous local martingales
M
and
N
, the
Itô product rule
says that
M
t
N
t
−
M
0
N
0
−
[
M
,
N
]
t
(1)
is
a
local martingale
. If the
martingales
are
square
-integrable and converge in
L
2
, then
E
[
M
∞
N
∞
]
=
E
[
M
0
N
0
]
+
E
[
M
,
N
]
∞
.
(2)
Ancestors
(9)
Quadratic covariation
Quadratic variation
Stochastic calculus
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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(1)
Past exam of the mathematics course of the University of Cambridge
/
2024
/
iii
/
Paper 202
/
2
/
c
/
i
/
Solution
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