Abstract
It is shown that a nonsingular matrix valued continuous semimartingale can be decomposed uniquely as a product of a continuous local martingale and a continuous process of locally bounded variation. An "integration by parts" formula for the multiplicative stochastic integral is also obtained.
Citation
Rajeeva L. Karandikar. "Multiplicative Decomposition of Non-Singular Matrix Valued Continuous Semimartingales." Ann. Probab. 10 (4) 1088 - 1091, November, 1982. https://doi.org/10.1214/aop/1176993734
Information