Abstract
An open problem in martingale theory is to characterize the normal martingales having the chaotic representation property. This property is shown to hold for certain families of multidimensional Azéma martingales.
Citation
Michel Émery. "Chaotic representation property of certain Azéma martingales." Illinois J. Math. 50 (1-4) 395 - 411, 2006. https://doi.org/10.1215/ijm/1258059480
Information
