scientific article; zbMATH DE number 3548177

MaRDI QIDQ4122568zbMATH OpenFDO

Authors L. Galtchouk

Publication date 1976

Full work available at URL http://www.numdam.org/item?id=AIHPB_1976__12_3_199_0, https://eudml.org/doc/77043

Mathematics Subject Classification ID

Markov processes (60J99)

Cites work

• Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
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• Multiple Wiener integral
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• On Square Integrable Martingales
• Quelques applications de la formule de changement de variables pour les semimartingales
• Representation of Functionals of Wiener and Poisson Processes in the Form of Stochastic Integrals
• Stochastic differential equations for the non linear filtering problem
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(2)

• Representation of the square integrable martingales generated by a two-parameter Lévy process
• Optimal portfolio for a small investor in a market model with discontinuous prices

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