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Document type:
Zeitschriftenaufsatz 
Author(s):
Kallsen, J. 
Non-TUM Co-author(s):
nein 
Cooperation:
Title:
Sigma-Localization and Sigma-Martingales 
Abstract:
This paper introduces the concept of sigma-localization, which is a generalization of localization in the general theory of stochastic processes. The sigma-localized class derived from the set of martingales is the class of sigma-martingales, which plays an important role in mathematical finance. These processes and the corresponding sigma-martingale measures are considered in detail. By extending the stochastic integral with respect to compensated random measures, a canonical representation of...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Theory of Probability and its Applications 
Year:
2004 
Journal volume:
48 
Journal issue:
Pages contribution:
152-163 
Language:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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