## The Annals of Mathematical Statistics

- Ann. Math. Statist.
- Volume 40, Number 3 (1969), 1033-1041.

### Martingales with Independent Increments

#### Abstract

In section one, $L_1$ bounds are obtained for transforms of discrete parameter martingales having independent increments. Section two develops the theory of quadratic variation for continuous parameter martingales having independent increments. An application of the results of these two sections to the theory of stochastic integrals appears in section three.

#### Article information

**Source**

Ann. Math. Statist., Volume 40, Number 3 (1969), 1033-1041.

**Dates**

First available in Project Euclid: 27 April 2007

**Permanent link to this document**

https://projecteuclid.org/euclid.aoms/1177697607

**Digital Object Identifier**

doi:10.1214/aoms/1177697607

**Mathematical Reviews number (MathSciNet)**

MR243605

**Zentralblatt MATH identifier**

0214.43901

**JSTOR**

links.jstor.org

#### Citation

Millar, P. Warwick. Martingales with Independent Increments. Ann. Math. Statist. 40 (1969), no. 3, 1033--1041. doi:10.1214/aoms/1177697607. https://projecteuclid.org/euclid.aoms/1177697607