About stochastic integrals with respect to processes which are not semi-martingales

Nicolas Bouleau (1)

1 CERMA - Centre d'Enseignement et de Recherche en Mathématiques Appliquées

Adapted processes depending on a random parameter may define a sigma-additive integral although not semimartingales for fixed value of the parameter.

Mots clés: Semi-martingale; Local time; Brownian motion

Domaines: Probabilités [math.PR]

Nicolas Bouleau. About stochastic integrals with respect to processes which are not semi-martingales. Osaka Journal of Mathematics, 1985, 22, pp.31-34. ⟨hal-00592352⟩