Martingales, potentials and exponentials associated with a two-parameter jump process

DOI10.1080/17442508108833189MaRDI QIDQ3664177zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Ata N. Al-Hussaini

Publication date 1981

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508108833189

zbMATH Keywords

conditional expectationsRadon-Nikodym derivativeweak martingalessigma fields generated by jump times

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cites work

• scientific article; zbMATH DE number 3644261 (Why is no real title available?)
• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
• Likelihood ratios and transformation of probability associated with two-parameter Wiener processes
• Predictable and dual predictable projections of two-parameter stochastic processes
• Quelques applications de la formule de changement de variables pour les semimartingales
• Stochastic integrals in the plane
• The Representation of Martingales of Jump Processes
• Weak martingales and stochastic integrals in the plane

Cited in

(4)

• Filtrations for the two parameter jump process
• Intensity-based inference for planar point processes
• Predictable projections for point process filtrations
• The optimal control of a two-parameter jump process

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