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

DOI10.1214/15-AOP1066zbMath1360.60091OpenAlexW2257547994MaRDI QIDQ504255

Paolo Di Tella, Hans-Jürgen 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

Lévy processesTeugels martingalesHaar functionschaotic representation propertyHermitian polynomialssquare integrable martingales

Mathematics Subject Classification ID

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

Related Items (6)

Product and moment formulas for iterated stochastic integrals (associated with Lévy processes) ⋮ Martingale representation in progressively enlarged Lévy filtrations ⋮ BSDEs and log-utility maximization for Lévy processes ⋮ Permutation invariant functionals of Lévy processes ⋮ La martingale d’Azéma ⋮ On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization

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