Back to University of Twente portal
Chaotic expansion of powers and martingale representation
Jamshidian, Farshid (2005) Chaotic expansion of powers and martingale representation.
![[img]](http://doc.utwente.nl/style/images/fileicons/application_pdf.png)
| PDF 299Kb |
| Abstract: | This paper extends a recent martingale representation result of [N-S] for a L´evy process to filtrations generated by a rather large class of semimartingales. As in [N-S], we assume the underlying processes have moments of all orders, but here we allow angle brackets to be stochastic. Following their approach, including a chaotic expansion, and incorporating an idea of strong orthogonalization from [D], we show that the stable subspace generated by Teugels martingales is dense in the space of square-integrable martingales, yielding the representation. While discontinuities are of primary interest here, the special case of a (possibly infinite-dimensional) Brownian filtration is an easy consequence. |
| Item Type: | Article |
| Research Group: | |
| Link to this item: | http://purl.utwente.nl/publications/59847 |
| Export this item as: | BibTeX EndNote HTML Citation Reference Manager |
Show download statistics for this publication
Show download statistics for this publicationRepository Staff Only: item control page