Semimartingale integral representation

DOI10.1214/aop/1024404427zbMath0876.60025OpenAlexW2073173477MaRDI QIDQ1356375

Hyungsok Ahn

Publication date: 10 November 1997

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1024404427

zbMATH Keywords

integral representationmartingale representationcontinuous semimartingales

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (4)

Functional Itō calculus and stochastic integral representation of martingales ⋮ Change of variable formulas for non-anticipative functionals ⋮ No arbitrage without semimartingales ⋮ Functional Itô calculus

Cites Work

• Semigroups of linear operators and applications to partial differential equations
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Quadratic covariation and an extension of Itô's formula
• An extension of clark' formula
• ? p stability of solutions of stochastic differential equations
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• A Theory of Cross-Spaces. (AM-26)
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