A note on chaotic and predictable representations for Itô–Markov additive processes
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Publication:4685693
DOI10.1080/07362994.2018.1434417zbMath1401.60145arXiv1612.09216OpenAlexW2963882605MaRDI QIDQ4685693
Zbigniew Palmowski, Anna Sulima, Łukasz Stettner
Publication date: 9 October 2018
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1612.09216
orthogonal polynomialsBrownian motionregime switchingstochastic integralcomplete marketmartingale representationMarkov additive processespower-jump process
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