Nuclear representation of Azema martingales (Q4451262)
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scientific article; zbMATH DE number 2046396
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| English | Nuclear representation of Azema martingales |
scientific article; zbMATH DE number 2046396 |
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23 February 2004
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Azema martingale
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non-commutative probability
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chaos decomposition
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0.8589071
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0.8557688
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0.85407263
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0.8526985
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0.84990835
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0.84942746
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Nuclear representation of Azema martingales (English)
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The authors use the non-commutative stochastic calculus of Hudson and Parthasarathy in order to give a representation by the Maasen-Meyer kernel for multiplication operators with Azéma martingales. They derive a chaotic version of Kabanov's formula as well as a criterion for a martingale to possess the chaotic representation property. The authors provide a basic introduction into the subject and give a nice motivation via the discrete-time case. For the entire collection see [Zbl 1003.00010].
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