Ma, Jin; Protter, Philip; Zhang, Jianfeng Explicit form and path regularity of martingale representations. (English) Zbl 0979.60027 Barndorff-Nielsen, Ole E. (ed.) et al., Lévy processes. Theory and applications. Boston: Birkhäuser. 337-360 (2001). Let \(X\) denote the solution of a stochastic differential equation driven by a Wiener process and a compensated Poisson random measure, and assume that \(X\) is an \(L\)-square martingale. Let \(\Phi(X)\) denote a given functional of \(X\) defined as an integral with respect to \(dX\). The paper gives sufficient conditions on \(\Phi\) in order that the integrand be left-continuous with right limits. This result may find application in mathematical finance.For the entire collection see [Zbl 0961.00012]. Reviewer: Guy Jumarie (Montréal) Cited in 1 Document MSC: 60G44 Martingales with continuous parameter 60H20 Stochastic integral equations 60H30 Applications of stochastic analysis (to PDEs, etc.) 91B28 Finance etc. (MSC2000) Keywords:Lévy process; compensated Poisson measure; pricing theory PDFBibTeX XMLCite \textit{J. Ma} et al., in: Lévy processes. Theory and applications. Boston: Birkhäuser. 337--360 (2001; Zbl 0979.60027)