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

martingale representationintegral representationcontinuous semimartingales

Mathematics Subject Classification ID

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

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Cites work

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• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited in

(10)

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

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