Constructive martingale representation in functional Itô calculus: a local martingale extension

2016/11/30 by Kristoffer Lindensjö · 4 citations
Mathematics · #math.PR #msc:60H05 #msc:60H07 #msc:60H25 #msc:60G44

paper · pdf · doi:10.1007/978-3-030-02825-1

published as chapter 9 in S. Silvestrov et al. (eds.), Stochastic Processes and Applications, Springer Proceedings in Mathematics and Statistics 271, 165-172, 2018

arxiv created 2018/12/10 · arxiv updated 2018/12/11

Abstract

The constructive martingale representation theorem of functional Itô calculus is extended, from the space of square integrable martingales, to the space of local martingales. The setting is that of an augmented filtration generated by a Wiener process.

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