The chaotic-representation property for a class of normal martingales
Suppose Z=(Zt)t>/=0 is a normal martingale which satisfies the structure equation ... . By adapting and extending techniques due to Parthasarathy and to Kurtz, it is shown that, if a is locally bounded and beta has values in the interval [-2,0], the process Z is unique in law, possesses the chaot...
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| Veröffentlicht in: | Probability theory and related fields 2007-11, Vol.139 (3-4), p.543-562 |
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| container_title | Probability theory and related fields |
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| creator | ATTAL, Stéphane BELTON, Alexander C. R |
| description | Suppose Z=(Zt)t>/=0 is a normal martingale which satisfies the structure equation ... . By adapting and extending techniques due to Parthasarathy and to Kurtz, it is shown that, if a is locally bounded and beta has values in the interval [-2,0], the process Z is unique in law, possesses the chaotic-representation property and is strongly Markovian (in an appropriate sense). If also beta is bounded away from the endpoints 0 and 2 on every compact subinterval of [0,infinity] then Z is shown to have locally bounded trajectories, a variation on a result of Russo and Vallois. |
| doi_str_mv | 10.1007/s00440-006-0052-z |
| format | Article |
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| identifier | ISSN: 0178-8051 |
| ispartof | Probability theory and related fields, 2007-11, Vol.139 (3-4), p.543-562 |
| issn | 0178-8051 1432-2064 |
| language | eng |
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| source | Business Source Complete; SpringerLink Journals - AutoHoldings |
| subjects | Algebra Applied mathematics Control theory Exact sciences and technology General topics Inference from stochastic processes time series analysis Martingales Mathematical functions Mathematical models Mathematics Probability Probability and statistics Probability theory and stochastic processes Representations Sciences and techniques of general use Statistics Stochastic processes Studies |
| title | The chaotic-representation property for a class of normal martingales |
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