Accession Number:

ADA160189

Title:

Construction of Exponential Martingales for Counting Processes.

Descriptive Note:

Technical rept. no. 10, 15 May 84-14 May 85,

Corporate Author:

MASSACHUSETTS UNIV AMHERST DEPT OF MATHEMATICS AND STATISTICS

Personal Author(s):

Report Date:

1985-04-03

Pagination or Media Count:

13.0

Abstract:

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.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE