Construction of Exponential Martingales for Counting Processes.
Technical rept. no. 10, 15 May 84-14 May 85,
MASSACHUSETTS UNIV AMHERST DEPT OF MATHEMATICS AND STATISTICS
Pagination or Media Count:
Let Nt be a counting process with continuous compensator At and ft a bounded predictabler process. If Eexp2fNt infinity and Eexp 21 expfA t infinity then it is shown that z exp -integral from 0 to t fudNu - integral from 0 to t exp -fu - 1dAu is a martingale. This is a partial extension of a theorem of Kabanov, Liptser, Shiryaev 1980 who assumed At or but did not assume At is continuous. Keywords Random variables, Stochastic processes, Poisson processes, convergence.
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