Semimartingale integral representation (Q1356375): Difference between revisions

An integral representation, related to an infinite-dimensional nonautonomous parabolic equation, for smooth functionals of continuous semimartingales is obtained. Semimartingale integral representations, including a martingale representation, are given in terms of a solution to this equation.

0 references

zbMATH Keywords

integral representation

0 references

continuous semimartingales

0 references

martingale representation

0 references

reviewed by

Allan Gut

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1214/aop/1024404427

0 references

cites work

Q4764181

0 references

The Representation of Functionals of Brownian Motion by Stochastic Integrals

0 references

Q4794153

0 references

Quadratic covariation and an extension of Itô's formula

0 references

Q5596338

0 references

Q3959169

0 references

An extension of clark' formula

0 references

Q3995203

0 references

Solving forward-backward stochastic differential equations explicitly -- a four step scheme

0 references

Semigroups of linear operators and applications to partial differential equations

0 references

? p stability of solutions of stochastic differential equations

0 references

Q3996259

0 references

A Theory of Cross-Spaces. (AM-26)

0 references

Identifiers

zbMATH Open document ID

0876.60025

0 references

DOI

10.1214/aop/1024404427

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1356375

@@ Property / full work available at URL @@
-https://doi.org/10.1214/aop/1024404427
-Normal rank
@@ Property / OpenAlex ID @@
-W2073173477
@@ Property / OpenAlex ID: W2073173477 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1214/aop/1024404427
+Normal rank
@@ Property / OpenAlex ID @@
+W2073173477
@@ Property / OpenAlex ID: W2073173477 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4764181
@@ Property / cites work: Q4764181 / rank @@
+Normal rank
@@ Property / cites work @@
+The Representation of Functionals of Brownian Motion by Stochastic Integrals
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic covariation and an extension of Itô's formula
+Normal rank
@@ Property / cites work @@
+Q5596338
@@ Property / cites work: Q5596338 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3959169
@@ Property / cites work: Q3959169 / rank @@
+Normal rank
@@ Property / cites work @@
+An extension of clark' formula
@@ Property / cites work: An extension of clark' formula / rank @@
+Normal rank
@@ Property / cites work @@
+Q3995203
@@ Property / cites work: Q3995203 / rank @@
+Normal rank
@@ Property / cites work @@
+Solving forward-backward stochastic differential equations explicitly -- a four step scheme
+Normal rank
@@ Property / cites work @@
+Semigroups of linear operators and applications to partial differential equations
+Normal rank
@@ Property / cites work @@
+? p stability of solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q3996259
@@ Property / cites work: Q3996259 / rank @@
+Normal rank
@@ Property / cites work @@
+A Theory of Cross-Spaces. (AM-26)
@@ Property / cites work: A Theory of Cross-Spaces. (AM-26) / rank @@
+Normal rank