The Predictable Representation Property of Compensated-Covariation Stable Families of Martingales

DOI10.1137/S0040585X97T98748XzbMath1337.60080arXiv1509.08604OpenAlexW2289490161MaRDI QIDQ2790678

Hans-Jürgen Engelbert, Paolo Di Tella

Publication date: 8 March 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.08604

zbMATH Keywords

Lévy processesorthogonal martingalessquare integrable martingalesstable subspacespredictable representation propertycompensated Poisson processesTeugels' martingales

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Martingales with continuous parameter (60G44) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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