Explicit form and path regularity of martingale representations
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Let \(X\) denote the solution of a stochastic differential equation driven by a Wiener process and a compensated Poisson random measure, and assume that \(X\) is an \(L\)-square martingale. Let \(\Phi(X)\) denote a given functional of \(X\) defined as an integral with respect to \(dX\). The paper gives sufficient conditions on \(\Phi\) in order that the integrand be left-continuous with right limits. This result may find application in mathematical finance. For the entire collection see [Zbl 0961.00012].
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