TY - JOUR
T1 - On characterizing the representation for a reversed point martingale
AU - Cheng, Tsung Lin
AU - Chou, Ching Sung
PY - 2008/1/1
Y1 - 2008/1/1
N2 - 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.
AB - 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.
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U2 - 10.11650/twjm/1500405088
DO - 10.11650/twjm/1500405088
M3 - Article
AN - SCOPUS:74049134801
VL - 12
SP - 1781
EP - 1790
JO - Taiwanese Journal of Mathematics
JF - Taiwanese Journal of Mathematics
SN - 1027-5487
IS - 7
ER -