2022/09/18 by Sara Biagini, Biagini, Sara, Gordan Žitković +1
Economics, Econometrics and Finance · #60G99 #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2209.08629
openalex publication_date 2022/09/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study representations of a random variable ξ as an integral of an adapted process with respect to the Lebesgue measure. The existence of such representations in two different regularity classes is characterized in terms of the quadratic variation of (local) martingales closed by ξ.