Martingale Representation Theorem and Chaos Expansion

DOI10.1142/9789812774637_0007MaRDI QIDQ5487021zbMATH OpenOpenAlexFDO

Authors Shinzo Watanabe

Publication date 18 September 2006

Published in Stochastic Processes and Applications to Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789812774637_0007

zbMATH Keywords

Itô's formulaItô's representation theoremrandom walk

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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Cited in

(1)

• scientific article; zbMATH DE number 139951 (Why is no real title available?)

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