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  • Search: subject:"finite moements semimartingales"
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Subject
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Hilbert space direct sum decomposition 1 Levy processes 1 Martingale representation 1 Teugels martingales 1 chaos 1 dense 1 finite moements semimartingales 1 polynomial 1 power brackets 1 stable subspaces 1 stochastic integration 1
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Book / Working Paper 1
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Undetermined 1
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Jamshidian, Farshid 1
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EconWPA 1
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GE, Growth, Math methods 1
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Chaotic expansion of powers and martingale representation (v1.5)
Jamshidian, Farshid - EconWPA - 2005
This paper extends a recent martingale representation result of [N-S] for a Levy process to filtrations generated by a rather large class of semimartingales. As in [N-S], we assume the underlying processes have moments of all orders, but here we allow angle brackets to be stochastic. Following...
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