Some time change representations of stable integrals, via predictable transformations of local martingales

Olav Kallenberg

Stochastic Processes and their Applications, 1992, vol. 40, issue 2, 199-223

Abstract: From the predictable reduction of a marked point process to Poisson, we derive a similar reduction theorem for purely discontinuous martingales to processes with independent increments. Both results are then used to examine the existence of stochastic integrals with respect to stable Lévy processes, and to prove a variety of time change representations for such integrals. The Knight phenomenon, where possibly dependent but orthogonal processes become independent after individual time changes, emerges as a general principle.

Keywords: marked; point; processes; purely; discontinuous; martingales; Poisson; and; sample; processes; Lévy; processes; stochastic; integrals (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (11)

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