Integral representation with respect to stopped continuous local martingales

DOI10.1080/17442508008833158MaRDI QIDQ3886587zbMATH OpenOpenAlexFDO

Authors H.-J. Engelbert, Juliane Hess

Publication date 1980

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508008833158

zbMATH Keywords

stopping timeslocal martingalesrepresentation property

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

Cites work

• scientific article; zbMATH DE number 3390061 (Why is no real title available?)
• MARKOV Processes in General State Spaces (Part IV)
• MARKOV Processes in General State Spaces. (Part V)
• On Square Integrable Martingales
• Stochastic Integrals of Continuous Local Martingales, I
• Stochastic Integrals of Continuous Local Martingales, II
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales

Cited in

(8)

• On Stochastic Differential Equations with Reflecting Barriers
• Filtrage non lineaire avec observation sur une variete
• Sur un théorème de H.J. Engelbert et J. Hess
• A canonical setting and separating times for continuous local martingales
• On driftless one-dimensional sdes with time-dependent diffusion coefficients
• Strong Markov Continuous Local Martingales and Solutions of One-Dimensional Stochastic Differential Equations (Part II)
• On a generalization of the theorem of p. levy
• On solutions of one-dimensional stochastic differential equations without drift

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