Semimartingale integral representation (Q1356375)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Semimartingale integral representation |
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Semimartingale integral representation (English)
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10 November 1997
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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.
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integral representation
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continuous semimartingales
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martingale representation
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