On Martingale Chaoses

DOI10.1007/978-3-319-92420-5_13zbMath1452.60027OpenAlexW2887071817MaRDI QIDQ5126599

B. Rajeev

Publication date: 20 October 2020

Published in: Séminaire de Probabilités XLIX (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-92420-5_13

zbMATH Keywords

PRPchaos expansionmartingale representationstochastic integral representationCRPpure martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites Work

• Stochastic analysis in discrete and continuous settings. With normal martingales.
• Martingale representations for functionals of Lévy processes
• White noise analysis for Lévy processes.
• Chaotic and predictable representations for Lévy processes.
• Chaotic representation property of certain Azéma martingales
• Multiple Wiener integral
• Transformations of Wiener integrals under translations
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Conditional expectation of odd chaos given even
• On extremal solutions of martingale problems
• Foundations of Modern Probability
• MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
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