Integration by parts for the single jump process (Q1186639)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integration by parts for the single jump process |
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Integration by parts for the single jump process (English)
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28 June 1992
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For a general jump process a small perturbation is compensated by changing the measure, so that differentiating gives a new integration by parts formula. Consequently, this also gives a new martingale representation.
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single jump process
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integration by parts formula
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martingale representation
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