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 |
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All Science Journal Classification (ASJC) codes
- Mathematics(all)
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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 journal › Article
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 -