Martingale representations for functionals of Lévy processes
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chaos expansionLévy processesmartingale representationstochastic derivativestochastic integral representation
Martingales with continuous parameter (60G44) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60)
Recommendations
- Martingale Representation of Functionals of Lévy Processes
- Levy functionals and jump process martingales
- Martingale representation in progressively enlarged Lévy filtrations
- On the representation of measurable functions by martingales
- Martingale representation and the Malliavin calculus
- A martingale representation for the maximum of a Lévy process
- Equivalent martingale measures for Lévy processes
- On the predictable representation property of martingales associated with Lévy processes
- scientific article; zbMATH DE number 140600
- scientific article; zbMATH DE number 56958
Cites work
- A new approach to the martingale representation theorem
- Chaotic and predictable representations for Lévy processes.
- Chaotic representation property of certain Azéma martingales
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 3778410 (Why is no real title available?)
- scientific article; zbMATH DE number 481040 (Why is no real title available?)
- scientific article; zbMATH DE number 5227638 (Why is no real title available?)
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- Multiple Wiener integral
- RANDOM FIELDS: NON-ANTICIPATING DERIVATIVE AND DIFFERENTIATION FORMULAS
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- Stochastic analysis in discrete and continuous settings. With normal martingales.
- White noise analysis for Lévy processes.
Cited in
(9)- Levy functionals and jump process martingales
- Computation of the kernels of Lévy functionals and applications
- Miscellanea. Representations of Levy processes without Gaussian components
- For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?
- On martingale chaoses
- Permutation invariant functionals of Lévy processes
- scientific article; zbMATH DE number 7782818 (Why is no real title available?)
- Representation of random variables as Lebesgue integrals
- A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
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