On the predictable representation property of martingales associated with Levy processes

被引：2

作者：

Di Tella, P. ^{[1
]}

Engelbert, H. -J. ^{[1
]}

机构：

[1] Univ Jena, Inst Math, D-07743 Jena, Germany

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS | 2015年 / 87卷 / 01期

关键词：

Levy processes; stable subspaces; Poisson random measure; predictable representation property; Teugels martingales; CONTINUOUS LOCAL MARTINGALES; STOCHASTIC INTEGRALS; INDEPENDENT INCREMENTS; JUMP-PROCESSES; FUNCTIONALS;

D O I：

10.1080/17442508.2014.932051

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We investigate the predictable representation property (PRP) in the frame of Levy processes. To give a general definition of the PRP, we make use of the theory of stable subspaces. Let L be a Levy process with Levy measure . The main result is that any total system in leads to a family of martingales with the PRP.

引用

页码：170 / 184

页数：15

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