Innovation projections of a jump process and local martingales

DOI10.1017/S0305004100000281zbMath0349.60050MaRDI QIDQ4119897

Robert J. Elliott

Publication date: 1977

Published in: Mathematical Proceedings of the Cambridge Philosophical Society (Search for Journal in Brave)

Mathematics Subject Classification ID

Related Items (3)

Stochastic integrals for martingales of a jump process with partially accessible jump times ⋮ A note on chaotic and predictable representations for Itô–Markov additive processes ⋮ Levy systems and absolutely continuous changes of measure for a jump process

Cites Work

• The Separation Principle in Stochastic Control via Girsanov Solutions
• Stochastic integrals for martingales of a jump process with partially accessible jump times
• On Square Integrable Martingales
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

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