Matches in SemOpenAlex for { <https://semopenalex.org/work/W4301257369> ?p ?o ?g. }
Showing items 1 to 88 of
88
with 100 items per page.
- W4301257369 abstract "In the present paper, we study the chaotic representation property for certain families of square integrable martingales. For this purpose, we introduce the notion of compensated-covariation stability of such families. The chaotic representation property will be defined using iterated integrals with respect to a given family of square integrable martingales having deterministic mutual predictable covariation. The main result of the present paper is: If $mathscr{X}$ is a compensated-covariation stable family of square integrable martingales such that $langle{X},{Y}rangle$ is deterministic for all $X,Yinmathscr{X}$ and, furthermore, the system of monomials generated by $mathscr{X}$ is total in $L^2(Omega,mathscr{F}^mathscr{X}_T,mathbb{P})$, then $mathscr{X}$ possesses the chaotic representation property. We shall apply this result to the case of L'evy processes. Relative to the filtration generated by a L'evy process, we construct families of martingales which possess the chaotic representation property. As an illustration of the general results, we will also discuss applications to continuous Gaussian families of martingales and independent families of compensated Poisson processes. We conclude the paper by giving, for the case of L'evy processes, several examples of concrete families $mathscr{X}$ of martingales including Teugels martingales." @default.
- W4301257369 created "2022-10-05" @default.
- W4301257369 creator A5017422992 @default.
- W4301257369 creator A5025937722 @default.
- W4301257369 date "2015-09-29" @default.
- W4301257369 modified "2023-09-28" @default.
- W4301257369 title "The Chaotic Representation Property of Compensated-Covariation Stable Families of Martingales" @default.
- W4301257369 doi "https://doi.org/10.48550/arxiv.1509.08604" @default.
- W4301257369 hasPublicationYear "2015" @default.
- W4301257369 type Work @default.
- W4301257369 citedByCount "0" @default.
- W4301257369 crossrefType "posted-content" @default.
- W4301257369 hasAuthorship W4301257369A5017422992 @default.
- W4301257369 hasAuthorship W4301257369A5025937722 @default.
- W4301257369 hasBestOaLocation W43012573691 @default.
- W4301257369 hasConcept C111472728 @default.
- W4301257369 hasConcept C114614502 @default.
- W4301257369 hasConcept C118615104 @default.
- W4301257369 hasConcept C121332964 @default.
- W4301257369 hasConcept C124952713 @default.
- W4301257369 hasConcept C134306372 @default.
- W4301257369 hasConcept C138885662 @default.
- W4301257369 hasConcept C140479938 @default.
- W4301257369 hasConcept C142362112 @default.
- W4301257369 hasConcept C154945302 @default.
- W4301257369 hasConcept C17744445 @default.
- W4301257369 hasConcept C189950617 @default.
- W4301257369 hasConcept C199539241 @default.
- W4301257369 hasConcept C200741047 @default.
- W4301257369 hasConcept C202444582 @default.
- W4301257369 hasConcept C2776359362 @default.
- W4301257369 hasConcept C2777052490 @default.
- W4301257369 hasConcept C2779557605 @default.
- W4301257369 hasConcept C2780980858 @default.
- W4301257369 hasConcept C28826006 @default.
- W4301257369 hasConcept C33923547 @default.
- W4301257369 hasConcept C41008148 @default.
- W4301257369 hasConcept C48406656 @default.
- W4301257369 hasConcept C62520636 @default.
- W4301257369 hasConcept C75413324 @default.
- W4301257369 hasConcept C84750791 @default.
- W4301257369 hasConcept C94625758 @default.
- W4301257369 hasConceptScore W4301257369C111472728 @default.
- W4301257369 hasConceptScore W4301257369C114614502 @default.
- W4301257369 hasConceptScore W4301257369C118615104 @default.
- W4301257369 hasConceptScore W4301257369C121332964 @default.
- W4301257369 hasConceptScore W4301257369C124952713 @default.
- W4301257369 hasConceptScore W4301257369C134306372 @default.
- W4301257369 hasConceptScore W4301257369C138885662 @default.
- W4301257369 hasConceptScore W4301257369C140479938 @default.
- W4301257369 hasConceptScore W4301257369C142362112 @default.
- W4301257369 hasConceptScore W4301257369C154945302 @default.
- W4301257369 hasConceptScore W4301257369C17744445 @default.
- W4301257369 hasConceptScore W4301257369C189950617 @default.
- W4301257369 hasConceptScore W4301257369C199539241 @default.
- W4301257369 hasConceptScore W4301257369C200741047 @default.
- W4301257369 hasConceptScore W4301257369C202444582 @default.
- W4301257369 hasConceptScore W4301257369C2776359362 @default.
- W4301257369 hasConceptScore W4301257369C2777052490 @default.
- W4301257369 hasConceptScore W4301257369C2779557605 @default.
- W4301257369 hasConceptScore W4301257369C2780980858 @default.
- W4301257369 hasConceptScore W4301257369C28826006 @default.
- W4301257369 hasConceptScore W4301257369C33923547 @default.
- W4301257369 hasConceptScore W4301257369C41008148 @default.
- W4301257369 hasConceptScore W4301257369C48406656 @default.
- W4301257369 hasConceptScore W4301257369C62520636 @default.
- W4301257369 hasConceptScore W4301257369C75413324 @default.
- W4301257369 hasConceptScore W4301257369C84750791 @default.
- W4301257369 hasConceptScore W4301257369C94625758 @default.
- W4301257369 hasLocation W43012573691 @default.
- W4301257369 hasLocation W43012573692 @default.
- W4301257369 hasLocation W43012573693 @default.
- W4301257369 hasLocation W43012573694 @default.
- W4301257369 hasOpenAccess W4301257369 @default.
- W4301257369 hasPrimaryLocation W43012573691 @default.
- W4301257369 hasRelatedWork W151952517 @default.
- W4301257369 hasRelatedWork W1540184672 @default.
- W4301257369 hasRelatedWork W2023954869 @default.
- W4301257369 hasRelatedWork W2289490161 @default.
- W4301257369 hasRelatedWork W2384499863 @default.
- W4301257369 hasRelatedWork W2939784111 @default.
- W4301257369 hasRelatedWork W2963965668 @default.
- W4301257369 hasRelatedWork W3134166322 @default.
- W4301257369 hasRelatedWork W4301257369 @default.
- W4301257369 hasRelatedWork W55729097 @default.
- W4301257369 isParatext "false" @default.
- W4301257369 isRetracted "false" @default.
- W4301257369 workType "article" @default.