Integration by parts for the single jump process

Robert J. Elliott and Allanus H. Tsoi

Statistics & Probability Letters, 1991, vol. 12, issue 5, 363-370

Abstract: By considering small perturbations in time, which are then compensated by changing the measure, a new integration-by-parts formula is obtained for functionals of a single jump process. For martingales associated with observing the time of the jump a new expression is derived for the integrant when they are represented as stochastic integrals.

Keywords: Single; jump; process; martingale; stochastic; integral; integration; by; parts (search for similar items in EconPapers)
Date: 1991
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