A representation theorem for smooth Brownian martingales
From MaRDI portal
Publication:2833694
DOI10.1080/17442508.2015.1116537zbMath1352.60062arXiv1401.5502OpenAlexW2260008810MaRDI QIDQ2833694
Sixian Jin, Henry Schellhorn, Qidi Peng
Publication date: 25 November 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1401.5502
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (2)
Semigroup solution of path-dependent second-order parabolic partial differential equations ⋮ Dyson type formula for pure jump Lévy processes with some applications to finance
Cites Work
- Unnamed Item
- Malliavin calculus for backward stochastic differential equations and application to numerical solutions
- Central limit theorems for multiple Skorokhod integrals
- Representation formulas for Malliavin derivatives of diffusion processes
- From time-ordered products to Magnus expansion
- An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
- Malliavin's calculus and stochastic integral representations of functional of diffusion processes†
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Stochastic Calculus for Fractional Brownian Motion and Applications
- On the Decomposition of Continuous Submartingales
- ON CONTINUOUS MARTINGALES
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
- The lognormal characteristic function
This page was built for publication: A representation theorem for smooth Brownian martingales
