XI: 35, 502-517, LNM 581 (1977)
YOR, Marc
Remarques sur la représentation des martingales comme intégrales stochastiques (
Martingale theory)
The main result on the relation between the previsible representation property of a set of local martingales and the extremality of their joint law appeared in a celebrated paper of Jacod-Yor,
Z. für W-theorie, 38, 1977. Several concrete applications are given here, in particular a complete proof of a ``folklore'' result on the representation of local martingales of a Lévy process, and a discussion of the commutation problem of
1123Comment: This is an intermediate paper between the Jacod-Yor results and the definitive version of previsible representation, using the theorem of Douglas, for which see
1221Keywords: Previsible representation,
Extreme points,
Independent increments,
Lévy processesNature: Original
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