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Innovation projections of a jump process and local martingales
Published online by Cambridge University Press: 24 October 2008
Abstract
Square integrable and local martingales on a family of σ-fields generated by a basic jump process are shown to have representations as stochastic integrals with respect to a family of martingales associated with the jump process by using the idea of an innovation projection and the associated Lévy system, which is a local characterization of the jumps.
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- Research Article
- Information
- Mathematical Proceedings of the Cambridge Philosophical Society , Volume 81 , Issue 1 , January 1977 , pp. 77 - 90
- Copyright
- Copyright © Cambridge Philosophical Society 1977
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