A martingale representation theorem for a class of jump processes
Probability
2013-10-24 v1
Abstract
We give a bare-hands approach to the martingale representation theorem for integer valued random measures, which allows for a wide class of infinite activity jump processes, as well as all processes with well-ordered jumps.
Keywords
Cite
@article{arxiv.1310.6286,
title = {A martingale representation theorem for a class of jump processes},
author = {Samuel N. Cohen},
journal= {arXiv preprint arXiv:1310.6286},
year = {2013}
}