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Chaoticity on a stochastic interval [0, T]

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Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 1613)

Abstract

The chaotic representation property is given a meaning and established for a class of martingales X defined on some stochastic interval [0, T] and having only finitely many jumps before T−∈.

Keywords

  • Representation Property
  • Predictable Process
  • Jump Time
  • Shift Transformation
  • Integrable Martingale

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References

  1. J. Azéma: Sur les fermés aléatoires. Séminaire de probabilités XIX, Lect. Notes in Maths. 1123. Springer (1985).

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© 1995 Springer-Verlag

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Dermoune, A. (1995). Chaoticity on a stochastic interval [0, T]. In: Azéma, J., Emery, M., Meyer, P.A., Yor, M. (eds) Séminaire de Probabilités XXIX. Lecture Notes in Mathematics, vol 1613. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0094204

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  • DOI: https://doi.org/10.1007/BFb0094204

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-60219-4

  • Online ISBN: 978-3-540-44744-3

  • eBook Packages: Springer Book Archive