2021/04/28 by Christian Mandler, Mandler, Christian, Ludger Overbeck +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G57 (Secondary) #60J68 (Primary) 60G07 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
paper · pdf · doi:10.48550/arxiv.2104.13653
openalex publication_date 2021/04/28 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We derive the explicit form of the martingale representation for square-integrable processes that are martingales with respect to the natural filtration of the super-Brownian motion. This is done by using a weak extension of the Dupire derivative for functionals of superprocesses.