Martingale problems and path properties of solutions

Bhatt, Abhay G. ; Karandikar, Rajeeva L. (2003) Martingale problems and path properties of solutions Sankhya: The Indian Journal of Statistics, 65 (4). pp. 733-743. ISSN 0972-7671

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Official URL: http://www.jstor.org/pss/25053309

Abstract

Existence and uniqueness of solutions to martingale problems, not only in the class of r.c.l.l. or continuous process, but also in the class of progressively measurable processes has become important. In this article we give several examples which show that existence or uniqueness in any one class need not imply the same in another class. We also give an example of a well-posed martingale problem where the operator is not a core for the generator of the corresponding Markov process.

Item Type:Article
Source:Copyright of this article belongs to Indian Statistical Institute.
Keywords:Martingale Problems; Path Properties; Generator; Core
ID Code:73316
Deposited On:02 Dec 2011 08:38
Last Modified:02 Dec 2011 08:38

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