Integration by parts for the single jump process

DOI10.1016/0167-7152(91)90023-KzbMath0749.60044MaRDI QIDQ1186639

Robert J. Elliott, Allanus H. Tsoi

Publication date: 28 June 1992

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

integration by parts formulamartingale representationsingle jump process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items

Partial mixing and Edgeworth expansion ⋮ Integration by parts for two–parameter single jump process ⋮ Existence ofdensities for functionals of the single jump process ⋮ Integration by parts and martingale representation for a Markov chain ⋮ Differentiable measures and the Malliavin calculus ⋮ Integration by parts for a Lie group valued Brownian motion

Cites Work

• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
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