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scientific article; zbMATH DE number 16689
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scientific article; zbMATH DE number 16689 |
Statements
26 June 1992
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predictable representation
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absolute continuity
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contiguity
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convergence in variation
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local martingales
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thinning of point processes
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optimal stopping problems
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0.8002018332481384
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0.7881785035133362
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0.7807186841964722
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[For the entire collection see Zbl 0724.00019.] The paper gives a survey of results on semimartingales and especially jump processes obtained by the authors since around 1982 and published in a series of earlier papers. It contains results on the following subjects: (1) The property of predictable representation. This is the problem to determine the class of local martingales which can be represented as a stochastic integral with a given local martingale as integrator process. (2) Problems of absolute continuity, contiguity and convergence in variation for two sequences of probability measures. (3) Properties of jump processes: characterization of the Markov property, results on thinning of point processes, optimal stopping problems. (4) Limit theorems for jump processes.
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