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Chaotic expansion of powers and martingale representation (v1.5)

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  • Farshid Jamshidian

    (Univ. of Twente, NIBCapital)

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    Abstract

    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 their approach, including a chaotic expansion, and incorporating an idea of strong orthogonalization from [D], we show that the stable subspace generated by Teugels martingales is dense in the space of square-integrable martingales, yielding the representation. While discontinuities are of primary interest here, the special case of a (possibly infinite-dimensional) Brownian filtration is an easy consequence.

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    File URL: http://128.118.178.162/eps/ge/papers/0507/0507009.pdf
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    Bibliographic Info

    Paper provided by EconWPA in its series GE, Growth, Math methods with number 0507009.

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    Length: 22 pages
    Date of creation: 15 Jul 2005
    Date of revision:
    Handle: RePEc:wpa:wuwpge:0507009

    Note: Type of Document - pdf; pages: 22. Martingale representation results for filtration generated by a large class of processes, including Levy processes. (Minor improvements to version 1.4)
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    Web page: http://128.118.178.162

    Related research

    Keywords: Martingale representation; stochastic integration; stable subspaces; power brackets; Teugels martingales; polynomial; chaos; Hilbert space direct sum decomposition; Levy processes; finite moements semimartingales; dense.;

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