Predictable projections for point process filtrations

DOI10.1007/BF01199897MaRDI QIDQ1333574zbMATH OpenFDO

Authors Günter Last

Publication date 21 November 1994

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF01199897

zbMATH Keywords

predictable and dual predictable projectionsregular versions of certain martingales

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random measures (60G57) Random fields (60G60)

Review text

We consider a point process \(\Phi\) with the Polish phase space \(({\mathbf X}, {\mathfrak X})\) and a system of \(\sigma\)-fields \({\mathcal F} (x)\), \(x \in {\mathbf X}\) generated by \(\Phi\) on certain sets \(\Gamma (x) \in {\mathfrak X}\). We define predictability for random processes indexed by \({\mathbf X}\) and for random measures on \({\mathbf X}\) and prove the existence and uniqueness of predictable and dual predictable projections under a regularity condition on \(\Phi\). For \({\mathbf X} = \mathbb{R}^ 2_ +\) and under monotonicity assumptions on the sets \(\Gamma_ x\) we will identify the predictable projections of some simple processes as regular versions of certain martingales.

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Cites work

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Cited in

(4)

• Systèmes de sortie \(({\mathcal F}_{D_ t})\) prévisibles. (\(({\mathcal F}_{D_ t})\)-predictable exit systems)
• Functional inequalities for marked point processes
• scientific article; zbMATH DE number 4058555 (Why is no real title available?)
• A compensator characterization of planar point processes

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