A new approach to the martingale representation theorem

DOI10.1080/17442500802343417zbMath1186.60046OpenAlexW1983221514MaRDI QIDQ3647587

B. Rajeev, Patrick J. Fitzsimmons

Publication date: 23 November 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500802343417

zbMATH Keywords

Sobolev spacemartingale representationstochastic integral representationstochastic Sobolev space

Mathematics Subject Classification ID

Brownian motion (60J65) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (4)

Functional Itō calculus and stochastic integral representation of martingales ⋮ Weak approximation of martingale representations ⋮ Martingale representations for functionals of Lévy processes ⋮ Solutions of SPDE's associated with a stochastic flow

Cites Work

• Explicit form and robustness of martingale representations.
• Multiple Wiener integral
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• On the Problem of Stochastic Integral Representations of Functionals of the Brownian Motion. I
• Correction Notes: Correction to "The Representation of Functionals of Brownian Motion by Stochastic Integrals"
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

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