Levy functionals and jump process martingales

DOI10.1016/0022-247X(77)90251-7MaRDI QIDQ1234965zbMATH OpenFDO

Authors Robert J. Elliott

Publication date 1977

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-247X(77)90251-7

Mathematics Subject Classification ID

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Cites work

• Double martingales
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• 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

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(12)

• 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
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• 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
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