ON THE REPRESENTATION OF INTEGRAL-VALUED RANDOM MEASURES AND LOCAL MARTINGALES BY MEANS OF RANDOM MEASURES WITH DETERMINISTIC COMPENSATORS

DOI10.1070/SM1981v039n02ABEH001515zbMath0462.60054OpenAlexW2016928750MaRDI QIDQ3911798

Albert N. Shiryaev, Robert Sh. Liptser, Youri M.Kabanov

Publication date: 1981

Published in: Mathematics of the USSR-Sbornik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/sm1981v039n02abeh001515

zbMATH Keywords

local martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Random measures (60G57)

Related Items (4)

The martingale problem method revisited ⋮ Structure-preserving equivalent martingale measures for ℋ-SII models ⋮ A dual Yamada-Watanabe theorem for Lévy driven stochastic differential equations ⋮ Construction of continuous-state branching processes in varying environments

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