Integral representation with respect to stopped continuous local martingales

DOI10.1080/17442508008833158zbMath0443.60042OpenAlexW2065303125MaRDI QIDQ3886587

Hans-Jürgen Engelbert, Juliane Hess

Publication date: 1980

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508008833158

zbMATH Keywords

stopping timeslocal martingalesrepresentation property

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

Related Items (8)

On a generalization of the theorem of p. levy ⋮ On Stochastic Differential Equations with Reflecting Barriers ⋮ On solutions of one-dimensional stochastic differential equations without drift ⋮ Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part II) ⋮ A canonical setting and separating times for continuous local martingales ⋮ On driftless one-dimensional sdes with time-dependent diffusion coefficients ⋮ Sur un théorème de H.J. Engelbert et J. Hess ⋮ Filtrage non lineaire avec observation sur une variete

Cites Work

• Stochastic Integrals of Continuous Local Martingales, I
• Stochastic Integrals of Continuous Local Martingales, II
• [https://portal.mardi4nfdi.de/wiki/Publication:4115871 �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales]
• MARKOV Processes in General State Spaces (Part IV)
• MARKOV Processes in General State Spaces. (Part V)
• On Square Integrable Martingales
• Unnamed Item

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