Martingale representations for functionals of Lévy processes
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martingale representationchaos expansionstochastic integral representationstochastic derivativeLévy processes
Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)
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
- 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?)
- A new approach to the martingale representation theorem
- Chaotic and predictable representations for Lévy processes.
- Chaotic representation property of certain Azéma martingales
- 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)- On martingale chaoses
- A construction of processes with one-dimensional martingale marginals, associated with a Lévy process, via its Lévy sheet
- scientific article; zbMATH DE number 7782818 (Why is no real title available?)
- Miscellanea. Representations of Levy processes without Gaussian components
- Computation of the kernels of Lévy functionals and applications
- Levy functionals and jump process martingales
- Representation of random variables as Lebesgue integrals
- Permutation invariant functionals of Lévy processes
- For which functions are 𝑓(𝑋_{𝑡})-𝔼𝕗(𝕏_{𝕥}) and 𝕘(𝕏_{𝕥})/𝔼𝕘(𝕏_{𝕥}) martingales?
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