Semimartingale integral representation (Q1356375)
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scientific article; zbMATH DE number 1018417
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| English | Semimartingale integral representation |
scientific article; zbMATH DE number 1018417 |
Statements
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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0.7930561900138855
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0.771102786064148
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0.7660815119743347
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0.7648406624794006
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0.7643473744392395
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