Abstract
Vector measures induced by stochastic processes, especially martingales, have been discussed by several authors ([2], [3], [5]), primarily in the context of stochastic integration. Our purpose here is to invetigate some of their properties, including differentiation and the Radon-Nikodym property. Our approach combines methods drawn from the existing literature with several new techniques.
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Al-Hussaini, A.N. (1982). Differentiation of measures related to stochastic processes. In: Kohlmann, M., Christopeit, N. (eds) Stochastic Differential Systems. Lecture Notes in Control and Information Sciences, vol 43. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0044284
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DOI: https://doi.org/10.1007/BFb0044284
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