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dc.contributor.advisorOverbeck, Ludger
dc.contributor.advisorKruse, Thomas
dc.contributor.authorScheld, Marius
dc.date.accessioned2022-07-25T11:03:31Z
dc.date.available2022-07-25T11:03:31Z
dc.date.issued2022-04
dc.identifier.urihttps://jlupub.ub.uni-giessen.de//handle/jlupub/3336
dc.identifier.urihttp://dx.doi.org/10.22029/jlupub-3029
dc.description.abstractWe provide a large class of functions and their respective parameters to transform a jump-process into a martingale w.r.t. its natural filtration. The proofs are based on a discrete Doob-decomposition and a limiting procedure to continuous time, in turn resulting in a time-continuous Doob-Meyer decomposition. Martingale transformations are then determined by solving the Doob-Meyer decomposition for functions that elim inate the compensator. We discuss several related results and single jump filtrations. The results are provided for single-jump processes and are systematically generalized to the multi-jump case, highlighting the necessity of dependencies between current jumps and the processes paths. Eventually we apply the result to branching random walks as an instructive example.de_DE
dc.description.sponsorshipSonstige Drittmittelgeber/-innende_DE
dc.language.isoende_DE
dc.rightsIn Copyright*
dc.rights.urihttp://rightsstatements.org/page/InC/1.0/*
dc.subjectStochastic Processesde_DE
dc.subjectJump Processesde_DE
dc.subjectDoob-Meyer decompositionde_DE
dc.subjectMartingalede_DE
dc.subjectBranching Random Walkde_DE
dc.subject.ddcddc:510de_DE
dc.titleMartingale Transformations of Jump Processesde_DE
dc.typedoctoralThesisde_DE
dcterms.dateAccepted2022-06-23
local.affiliationFB 07 - Mathematik und Informatik, Physik, Geographiede_DE
thesis.levelthesis.doctoralde_DE


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