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from Part I - Point Processes
Published online by Cambridge University Press: 27 May 2021
The theory is here generalized to include marked point processes (MPP) on the real line with ageneral mark space. We define and interpret MPP differentials and integrals The compensator and intensity of an MPP is discussed carefully. We present the relevant predictability concept for MPP integrands, andthe connection between MPP integrals and martingales is discussed in detail.
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