Martingales on Jump Processes. I: Representation Results

Cited In (41)

Levy systems and absolutely continuous changes of measure for a jump process
Adaptive estimation of doubly stochastic Poisson processes
Estimating a parametric trend component in a continuous-time jump-type process
Diffusion approximation of open queueing networks with critical traffic levels
Interview with Anja Sattelmacher: between viewing and touching -- models and their materiality
On Bayes’ Formula for Doubly Stochastic Point Process on the Real Half-Line
Estimation for jump processes in the tangent bundle of a Riemann manifold
Filtering of continuous-time Markov chains with noise-free observation and applications
On the absolute continuity of measures relative to a Poisson measure
Nonparametric kernel regression when the regressor follows a counting process
Diffusion approximation and filtering for a queueing system with repeats
An alternative approach to non-linear filtering : jump process observations†
Modelling and estimation of traffic flow—a martingale approach
Single jump filtrations and local martingales
Nonparametric estimation of intensities of nonhomogeneous Poisson processes
On the predictable representation property of martingales associated with Lévy processes
The dual space of the space BMO for a stochastic point process
A survey of design methods for failure detection in dynamic systems
Control of jump processes and applications
Stochastic integrals for martingales of a jump process with partially accessible jump times
Optimal control of semi-Markov processes with a backward stochastic differential equations approach
Representation results for jump processes with application to optimal stopping
Control: a perspective
A review on stochastic differential equations for applications in hydrology
Random time changes for multivariate counting processes
Self-exciting counting process systems with finite state space
Optimal control for stochastic Volterra equations with multiplicative Lévy noise
Slochastic multicompartmental systems. a counting process approach for parameter estimation(°)
Stochastic filtering of a pure jump process with predictable jumps and path-dependent local characteristics
A differential game with jump process observations
Time-dynamic evaluations under non-monotone information generated by marked point processes
Levy functionals and jump process martingales
Weak convergence of stochastic integrals related to counting processes
A Jump/Diffusion Consumption‐Based Capital Asset Pricing Model and the Equity Premium Puzzle
Filtering of derived point processes
Piecewise constant martingales and lazy clocks
Estimation for branching processes with varying and random environments
Backward stochastic differential equations associated to jump Markov processes and applications
The predictable representation property of compensated-covariation stable families of martingales
Title not available (Why is that?)
BSDEs driven by time-changed Lévy noises and optimal control

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