The chaotic representation property of compensated-covariation stable families of martingales

DOI10.1214/15-AOP1066MaRDI QIDQ504255zbMATH OpenOpenAlexFDO

Authors P. Di Tella, H.-J. Engelbert

Publication date 13 January 2017

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/15-aop1066

zbMATH Keywords

Teugels martingalesHaar functionschaotic representation propertyHermitian polynomialssquare integrable martingalesLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Martingales and classical analysis (60G46)

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• On the predictable representation property of martingales associated with Lévy processes
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• On logarithmic Sobolev inequalities for normal martingales
• The predictable representation property of compensated-covariation stable families of martingales
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