Using a perturbation of the rate of a Poisson process and an inverse time change, an integration by parts formula is obtained. This enables a new form of the integrand in a martingale representation result to be obtained. '1993 Academic Press, Inc.
Integration by parts for the single jump process
β Scribed by Robert J. Elliott; Allanus H. Tsoi
- Publisher
- Elsevier Science
- Year
- 1991
- Tongue
- English
- Weight
- 385 KB
- Volume
- 12
- Category
- Article
- ISSN
- 0167-7152
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