Semimartingale integral representation

DOI10.1214/AOP/1024404427MaRDI QIDQ1356375zbMATH OpenOpenAlexFDO

Authors 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

continuous semimartingalesintegral representationmartingale representation

Mathematics Subject Classification ID

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

Review text

An integral representation, related to an infinite-dimensional nonautonomous parabolic equation, for smooth functionals of continuous semimartingales is obtained. Semimartingale integral representations, including a martingale representation, are given in terms of a solution to this equation.

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• Representation of martingale additive functionals on Banach spaces

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Cited in

(10)

• No arbitrage without semimartingales
• Functional Itō calculus and stochastic integral representation of martingales
• Simplified stochastic calculus via semimartingale representations
• Change of variable formulas for non-anticipative functionals
• scientific article; zbMATH DE number 56958 (Why is no real title available?)
• Functional Itô calculus
• Integral representation of multiplicative martingale semigroups
• Semimartingale representation of a class of semi-Markov dynamics
• Classical solution of path-dependent mean-field semilinear PDEs
• Representation of martingale additive functionals on Banach spaces

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