Stochastic integrals for martingales of a jump process with partially accessible jump times-Reference-Cited by-同舟云学术

Stochastic integrals for martingales of a jump process with partially accessible jump times

Published:1976 Issue:3 Volume:36 Page:213-226
ISSN:0044-3719
Container-title:Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete
language:en
Short-container-title:Z. Wahrscheinlichkeitstheorie verw Gebiete

Author:

Elliott Robert J.

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis,General Mathematics,Statistics and Probability,Analysis

Link

http://link.springer.com/content/pdf/10.1007/BF00532546.pdf

Reference11 articles.

1. Boel, R., Varaiya, P., Wong, E.: Martingales on jump processes, I. Representation results., S.I.A.M. J. Control. 13, 999?1021 (1975)

2. Chou, C. S., Meyer, P.A.: Sur la représentation des martingales commes intégrales stochastiques dans les processus ponctuels. Séminaire de Prob. IX Lecture Notes in Math., pp. 226?236, 465. Berlin: Springer-Verlag 1975

3. Clark, J. M. C.: The representation of functionals of Brownian motion by stochastic integrals, Ann. Math. Statist. 41, 1282?1295 (1970)

4. Davis, M. H. A.: The representation of martingales of jump processes, S.I.A.M. J. Control. 14, 623?638 (1976)

5. Dellacherie, C., Meyer, P. A.: Probabilites et Potential. Chaps. I?IV. 2 ème Ed. Paris: Hermann 1975

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