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

DOI10.1214/15-AOP1066zbMATH Open1360.60091OpenAlexW2257547994MaRDI QIDQ504255FDOQ504255

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

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+processes&go=Go L��vy processes]Teugels martingalesHaar functionschaotic representation propertyHermitian polynomialssquare integrable martingales

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)

Cited In (9)

• Title not available (Why is that?)
• On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
• Permutation invariant functionals of Lévy processes
• Product and moment formulas for iterated stochastic integrals (associated with Lévy processes)
• Martingale representation in progressively enlarged Lévy filtrations
• La martingale d’Azéma
• BSDEs and log-utility maximization for Lévy processes
• On logarithmic Sobolev inequalities for normal martingales
• Chaotic and predictable representations for Lévy processes.

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