与lsamvy过程相关的鞅的可预测表示性质

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2015-01-02 DOI:10.1080/17442508.2014.932051

P. Di Tella, H. Engelbert

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引用次数: 7

摘要

研究了lsamvy过程框架下的可预测表示性质(PRP)。为了给出PRP的一般定义，我们利用稳定子空间理论。让L成为一个具有L型尺度的L型过程。主要的结果是，任何全系统in都会导致一个具有PRP的鞅族。

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On the predictable representation property of martingales associated with Lévy processes

We investigate the predictable representation property (PRP) in the frame of Lévy processes. To give a general definition of the PRP, we make use of the theory of stable subspaces. Let L be a Lévy process with Lévy measure . The main result is that any total system in leads to a family of martingales with the PRP.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.