Contrary to the usual practice, martingales are not at the heart of our study of PDMPs, but a book devoted to PDMPs cannot fail to mention those related to them. This chapter contains the classic results on these martingales. It is based on the results mentioned in Appendix A (Sect. A.4) about the compensator of a marked point process and the associated stochastic calculus. The reader who is not specifically interested in martingales can skip this chapter without prejudicing the reading of the following ones.
CITATION STYLE
Cocozza-Thivent, C. (2021). A Martingale Approach. In Probability Theory and Stochastic Modelling (Vol. 100, pp. 123–134). Springer Nature. https://doi.org/10.1007/978-3-030-70447-6_7
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