Representation of random variables as Lebesgue integrals

DOI10.3150/23-BEJ1656MaRDI QIDQ6565305zbMATH OpenFDO

Authors Sara Biagini, Gordan Žitković

Publication date 2 July 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/23-BEJ1656

zbMATH Keywords

absolutely continuous representationGirsanov theoremLebesgue integralmartingale representationquadratic variationrandom variables

Mathematics Subject Classification ID

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

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Cites work

• A general version of the fundamental theorem of asset pricing
• Alternative forms of fractional Brownian motion
• Ergodicity for Infinite Dimensional Systems
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 481040 (Why is no real title available?)
• Optimal dynamic regulation of carbon emissions market
• Robust portfolio choice with sticky wages
• Stochastic Equations in Infinite Dimensions
• Stochastic Optimal Control in Infinite Dimension
• The stochastic Fubini theorem revisited

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• Carbon neutrality and net-zero regulation
• Emission impossible: balancing environmental concerns and energy prices

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