Stochastic integrals for martingales of a jump process with partially accessible jump times

DOI10.1007/BF00532546zbMath0325.60055MaRDI QIDQ4089600

Robert J. Elliott

Publication date: 1976

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Related Items (10)

Single jump filtrations and local martingales ⋮ Innovation projections of a jump process and local martingales ⋮ Optimal control of a jump process ⋮ Martingale representation theorem for G-Brownian motion ⋮ Levy functionals and jump process martingales ⋮ The Predictable Representation Property of Compensated-Covariation Stable Families of Martingales ⋮ A note on chaotic and predictable representations for Itô–Markov additive processes ⋮ Time-dynamic evaluations under non-monotone information generated by marked point processes ⋮ Nonlinear reserving and multiple contract modifications in life insurance ⋮ On the predictable representation property of martingales associated with Lévy processes

Cites Work

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• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• [https://portal.mardi4nfdi.de/wiki/Publication:4064791 Un th�or�me de repr�sentation pour les martingales discontinues]
• The Representation of Martingales of Jump Processes
• Innovation projections of a jump process and local martingales
• Martingales on Jump Processes. I: Representation Results
• On Square Integrable Martingales
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

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