On characterizing the representation for a reversed point martingale

Tsung Lin Cheng, Ching Sung Chou

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)1781-1790
Number of pages10
JournalTaiwanese Journal of Mathematics
Volume12
Issue number7
DOIs
Publication statusPublished - 2008 Jan 1

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All Science Journal Classification (ASJC) codes

  • Mathematics(all)

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