Representation of Martingales with Jumps and Applications to Mathematical Finance

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7 – Backward Stochastic Differential Equations (2011, unknown): “Now it is well known that any square integrable F-martingale has the following martingale representation: see Jacod [49], Tang and Li [79] or Kunita [56].”
MINIMAL f q -MARTINGALE MEASURES FOR EXPONENTIAL LÉVY PROCESSES (2007, background): “1 of [15]) Let L be a P -Lévy process with Lévy characteristics (b, c, K), IF = IF and Q ≈ P with Girsanov parameters β and Y .”
Itô's stochastic calculus: Its surprising power for applications (2010, background): “([24]) With respect to Q, we have (1) W t := Wt − ∫ t 0 φ(s)ds is a standard Brownian motion.”
Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps (2010, unknown): “See [17] for details.”