Martingale representations for functionals of Lévy processes

DOI10.1007/s13171-015-0073-8zbMath1325.60081OpenAlexW1155967217MaRDI QIDQ746050

B. Rajeev

Publication date: 15 October 2015

Published in: Sankhyā. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13171-015-0073-8

zbMATH Keywords

Lévy processeschaos expansionmartingale representationstochastic integral representationstochastic derivative

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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Cites Work

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