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Is there an equivalent of martingale representation theorem for Levy processes in some form? I believe there is no such theorem in generality, but maybe there are some specific versions?

Alice
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Grzenio
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  • also posted to mo http://mathoverflow.net/questions/70981/ – Alice Jul 22 '11 at 18:04
  • @Alice, yes, I haven't figured out why there are two sites yet... – Grzenio Jul 22 '11 at 19:39
  • I'm closing this question as the OP already received an answer at MathOverflow. @Grzenio: you should really consider reading our FAQ, or perhaps searching Meta. Saying that you don't know why there are two sites is like saying you don't know how to spell Connecticut: the information is all out there, the onus is on you to look/ask for it. – Willie Wong Jul 25 '11 at 13:58
  • We general discourage simultaneous cross-posting to the two sites. In this case, I think the question is a good enough fit for MO that I closed this one here. In general, if you are not sure whether a question fits the mission statement of MathOverflow or Math.SE better, you should ask it here first. – Willie Wong Jul 25 '11 at 14:07
  • @Willie, I read the FAQ but its rather vague. It says "Stack Exchange is for people studying mathematics at any level", which I understand includes research level, but then it says "you can get better response on our sister sites" for certain subjects (fair enough). I haven't seen anything about cross-posting. So to come back to your example, as far as I know there is only one way to spell Connecticut, but many ways to interpret your FAQ. – Grzenio Jul 26 '11 at 09:59
  • @Grzenio: ... which implies that MathOverflow is for research-level questions only; questions of all level are welcome here. But you should also consult the FAQ at MathOverflow, as well as the meta thread I linked to (and other meta threads titled similarly) for the differences between the two sites. – Willie Wong Jul 26 '11 at 10:40
  • @Grzenio: a propos cross posting, I know it is not in the FAQ (that's partly why I split into two comments instead of just one). Hence I explained it to you above in the comments why your question is closed. – Willie Wong Jul 26 '11 at 10:41

1 Answers1

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you might want to check out Theorem 61 in Protter's book about stochastic integration, but this covers only processes, that solve some affine SDE.

user13655
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