摘要
证明了如下结果：设Ｍ，Ｎ为平方可积鞅，φ，ψ为可料过程，且Ｅ分别表示Ｍ，Ｎ的二次变差，Ｒｔ＝［０，ｔ］，［Ｍ，Ｎ］＝（１／２）（［Ｍ＋Ｎ］－［Ｍ］－［Ｎ］）．这一结论推广和改进了ｃｈｅｖａｌｉｅｒ在文［１］中的结果．同时，还证明了平面随机积分两个类似于Ｌ—Ｓ积分的性质．
In this paper,we prove that if M and N are square integrable martingales,φ and ψare predictable processes, E and E then are the quadratic variation of M, N respectively, and [M,N]=(1/2)([M+N][M]-[N]). This result extends the conclusion in paper [1]. Two properties similar to L-S gral are also given.
关键词
平方可积鞅
二次变差
随机积分
square integrable martingales
quadratic vairation
stochastic integral
