Levy functionals and jump process martingales
An arbitrary jump process is considered without any assumption about the jump times and allowing the jump times to have accumulation points of arbitrary order Lévy system describing the jumps are introduced, and a notion of quadratic integration with respect to the predictable quadratic variation \(<q, q>\) of the basic martingales is defined. If \(M_t\) is a (locally) square integrable martingale with respect to the family of \(\sigma\)-fields generated by the jump process it is shown that \(_t\) can be represented as a stochastic integral with respect to the basic martingales and with an integrand (locally) square integrable with respect to \(<q, q>\).
- Double martingales
- scientific article; zbMATH DE number 3511348 (Why is no real title available?)
- scientific article; zbMATH DE number 3223983 (Why is no real title available?)
- scientific article; zbMATH DE number 3227572 (Why is no real title available?)
- Martingales on Jump Processes. I: Representation Results
- On Square Integrable Martingales
- Stochastic integrals for martingales of a jump process with partially accessible jump times
- The Representation of Martingales of Jump Processes
- Functional estimation for Lévy measures of semimartingales with Poissonian jumps
- Lévy processes in finance: A remedy to the non-stationarity of continuous martingales
- Pure-jump semimartingales
- scientific article; zbMATH DE number 5654553 (Why is no real title available?)
- scientific article; zbMATH DE number 16689 (Why is no real title available?)
- Innovation projections of a jump process and local martingales
- Optimal control of a jump process
- On a martingale representation theorem of m. h. a. davis-a markovian approach
- Lévy processes, polynomials and martingales
- scientific article; zbMATH DE number 1383165 (Why is no real title available?)
- scientific article; zbMATH DE number 4123005 (Why is no real title available?)
- Martingale representations for functionals of Lévy processes
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