Keywords
- Random Measure
- Stochastic Integration
- Local Martingale
- Finite Variation
- Predictable Process
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References
M.H.A. DAVIS, The representation of martingales of a jump process. S.I.A.M. Jour. of Control 14 (1976), 623–638.
C. DELLACHERIE, Capacités et processus stochastiques, Springer-Verlag. Berlin, Heidelberg, New York 1972.
R.J. ELLIOTT, Innovation projections of a jump process and local martingales. Proc. Camb. Phil. Soc. 81(1977), 77–90.
J. JACOD, Calcul stochastique et problèmes de martingales. Lecture notes in mathematics 714 Springer-Verlag. Berlin, Heidelberg, New York 1979.
P.A. MEYER, Un cours sur les intégrales stochastiques. Lecture notes in mathematics 511, Springer-Verlag. Berlin, Heidelberg, New York. 1976.
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© 1981 Springer-Verlag
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Elliott, R.J. (1981). Stochastic integration and discontinuous martingales. In: Williams, D. (eds) Stochastic Integrals. Lecture Notes in Mathematics, vol 851. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0088723
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DOI: https://doi.org/10.1007/BFb0088723
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Online ISBN: 978-3-540-38613-1
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