与lsamvy过程相关的鞅的可预测表示性质

Pub Date : 2015-01-02 DOI:10.1080/17442508.2014.932051

P. Di Tella, H. Engelbert

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引用次数: 7

摘要

研究了lsamvy过程框架下的可预测表示性质(PRP)。为了给出PRP的一般定义，我们利用稳定子空间理论。让L成为一个具有L型尺度的L型过程。主要的结果是，任何全系统in都会导致一个具有PRP的鞅族。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On the predictable representation property of martingales associated with Lévy processes

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

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