On the predictable representation property of martingales associated with Lévy processes

DOI10.1080/17442508.2014.932051MaRDI QIDQ5265780zbMATH OpenOpenAlexFDO

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

Publication date 29 July 2015

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://www.db-thueringen.de/receive/dbt_mods_00023407

zbMATH Keywords

martingalesPoisson random measurestable subspacespredictable representation propertyLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Random measures (60G57) Martingales with continuous parameter (60G44) Stable stochastic processes (60G52) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 481040 (Why is no real title available?)
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• Chaotic and predictable representations for Lévy processes.
• Foundations of Modern Probability
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• Multiple Wiener integral
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• Stochastic Integrals of Continuous Local Martingales, I
• Stochastic Integrals of Continuous Local Martingales, II
• Stochastic integrals for martingales of a jump process with partially accessible jump times
• Sur l'etude des martingales continues extrêmales
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• The Representation of Martingales of Jump Processes
• �tude des solutions extr�males et repr�sentation int�grale des solutions pour certains probl�mes de martingales

Cited in

(7)

• scientific article; zbMATH DE number 816100 (Why is no real title available?)
• scientific article; zbMATH DE number 3896022 (Why is no real title available?)
• Martingale representations for functionals of Lévy processes
• The predictable representation property of compensated-covariation stable families of martingales
• Predictable representation for time inhomogeneous Lévy processes and BSDEs
• Adaptation of a population to a changing environment in the light of quasi-stationarity
• On the monotone stability approach to BSDEs with jumps: extensions, concrete criteria and examples

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