The property of predictable representation of the sum of independent semimartingales

DOI10.1007/BF00537231MaRDI QIDQ3933722zbMATH OpenOpenAlexFDO

Authors Shengwu He, Jia-gang Wang

Publication date 1982

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

Full work available at URL https://doi.org/10.1007/bf00537231

zbMATH Keywords

predictable representation

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Cited in

(11)

• Thinning of Point Processes—Martingale Method
• An example of martingale representation in progressive enlargement by an accessible random time
• Martingale representation in progressively enlarged Lévy filtrations
• Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
• BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
• On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
• Rational hedging and valuation of integrated risks under constant absolute risk aversion.
• Indifference pricing for contingent claims: large deviations effects
• On the propagation of the weak representation property in independently enlarged filtrations: the general case
• Ergodic control of infinite-dimensional stochastic differential equations with degenerate noise
• Endogenous current coupons

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