Chaotic representation property of certain Azéma martingales

zbMath1110.60043MaRDI QIDQ2505475

Michel Émery

Publication date: 26 September 2006

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

structure equations

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (5)

Replicating portfolio approach to capital calculation ⋮ Stochastic control problems for systems driven by normal martingales ⋮ La martingale d’Azéma ⋮ On Martingale Chaoses ⋮ Martingale representations for functionals of Lévy processes

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