Weak approximation of martingale representations
DOI10.1016/j.spa.2015.10.002zbMath1336.60109arXiv1501.00383OpenAlexW1762184644MaRDI QIDQ5962610
Publication date: 15 February 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.00383
Malliavin calculussemimartingalesstochastic differential equationsClark-Ocone formulaEuler approximationfunctional Itô calculusmartingale representations
Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Related Items (9)
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