Abstract
In this paper, we obtain the representation for a reversed point martingale with respect to the reversed filtration generated by a point process. Besides, if a martingale can be expressed as a certain kind of stochastic integral with respect to some point martingale, then its reversed counterpart can also be expressed as a stochastic integral with respect to the corresponding reversed point martingale.
| Original language | English |
|---|---|
| Pages (from-to) | 1781-1790 |
| Number of pages | 10 |
| Journal | Taiwanese Journal of Mathematics |
| Volume | 12 |
| Issue number | 7 |
| DOIs | |
| Publication status | Published - 2008 Jan 1 |
All Science Journal Classification (ASJC) codes
- Mathematics(all)
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Cite this
Cheng, T. L., & Chou, C. S. (2008). On characterizing the representation for a reversed point martingale. Taiwanese Journal of Mathematics, 12(7), 1781-1790. https://doi.org/10.11650/twjm/1500405088