Levy systems and absolutely continuous changes of measure for a jump process

DOI10.1016/0022-247X(77)90178-0zbMath0371.60064OpenAlexW2065306680MaRDI QIDQ1243517

Robert J. Elliott

Publication date: 1977

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0022-247x(77)90178-0

Mathematics Subject Classification ID

Stochastic processes (60G99)

Related Items (1)

Optimal control of a jump process

Cites Work

• Transformation of local martingales under a change of law
• The Representation of Martingales of Jump Processes
• Innovation projections of a jump process and local martingales
• Martingales on Jump Processes. I: Representation Results
• Martingales on Jump Processes. II: Applications
• Quelques applications de la formule de changement de variables pour les semimartingales
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