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

Fingerprint

Martingale
Stochastic Integral
Point Process
Filtration

All Science Journal Classification (ASJC) codes

  • Mathematics(all)

Cite this

@article{e0001cf478964d64bfcd40cbc7ce294a,
title = "On characterizing the representation for a reversed point martingale",
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.",
author = "Cheng, {Tsung Lin} and Chou, {Ching Sung}",
year = "2008",
month = "1",
day = "1",
doi = "10.11650/twjm/1500405088",
language = "English",
volume = "12",
pages = "1781--1790",
journal = "Taiwanese Journal of Mathematics",
issn = "1027-5487",
publisher = "Mathematical Society of the Rep. of China",
number = "7",

}

On characterizing the representation for a reversed point martingale. / Cheng, Tsung Lin; Chou, Ching Sung.

In: Taiwanese Journal of Mathematics, Vol. 12, No. 7, 01.01.2008, p. 1781-1790.

Research output: Contribution to journalArticle

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.

UR - http://www.scopus.com/inward/record.url?scp=74049134801&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=74049134801&partnerID=8YFLogxK

U2 - 10.11650/twjm/1500405088

DO - 10.11650/twjm/1500405088

M3 - Article

VL - 12

SP - 1781

EP - 1790

JO - Taiwanese Journal of Mathematics

JF - Taiwanese Journal of Mathematics

SN - 1027-5487

IS - 7

ER -