Stochastic integrals for martingales of a jump process with partially accessible jump times

DOI10.1007/BF00532546zbMATH Open0325.60055MaRDI QIDQ4089600FDOQ4089600

Authors: Robert J. Elliott 

Publication date: 1976

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

Mathematics Subject Classification ID

Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Cites Work

• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
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• Un th�or�me de repr�sentation pour les martingales discontinues
• On Square Integrable Martingales
• Martingales on Jump Processes. I: Representation Results
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• The Representation of Martingales of Jump Processes
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• Innovation projections of a jump process and local martingales

Cited In (10)

• Optimal control of a jump process
• Single jump filtrations and local martingales
• Martingale representation theorem for G-Brownian motion
• On the predictable representation property of martingales associated with Lévy processes
• Time-dynamic evaluations under non-monotone information generated by marked point processes
• Levy functionals and jump process martingales
• Innovation projections of a jump process and local martingales
• A note on chaotic and predictable representations for Itô–Markov additive processes
• Nonlinear reserving and multiple contract modifications in life insurance
• The predictable representation property of compensated-covariation stable families of martingales

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