Kunita–Watanabe inequality
In
stochastic processes
.
It was first obtained by Hiroshi Kunita and stochastic integral to square-integrable martingales.[1]
Statement of the theorem
Let M, N be continuous
measurable
processes. Then
where the angled brackets indicates the quadratic variation and quadratic covariation operators. The integrals are understood in the Lebesgue–Stieltjes sense.
References
- ISBN 0-521-77593-0.