A note on chaotic and predictable representations for Itô-Markov additive processes (Q4685693)
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scientific article; zbMATH DE number 6949201
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| English | A note on chaotic and predictable representations for Itô-Markov additive processes |
scientific article; zbMATH DE number 6949201 |
Statements
A note on chaotic and predictable representations for Itô–Markov additive processes (English)
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9 October 2018
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Markov additive processes
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martingale representation
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power-jump process
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orthogonal polynomials
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stochastic integral
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Brownian motion
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regime switching
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complete market
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0.7353895306587219
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0.7184786796569824
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0.7045717835426331
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0.6976986527442932
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0.6942027807235718
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