Weak approximation of martingale representations

DOI10.1016/J.SPA.2015.10.002MaRDI QIDQ5962610zbMATH OpenOpenAlexFDO

Authors Rama Cont, Yi Lu

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

zbMATH Keywords

Clark-Ocone formulaEuler approximationfunctional Itô calculusMalliavin calculusmartingale representationssemimartingalesstochastic differential equations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Generalizations of martingales (60G48) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Abstract: We present a systematic method for computing explicit approximations to martingale representations for a large class of Brownian functionals. The approximations are obtained by obtained by computing a directional derivative of the weak Euler scheme and yield a consistent estimator for the integrand in the martingale representation formula for any square-integrable functional of the solution of an SDE with path-dependent coefficients. Explicit convergence rates are derived for functionals which are Lipschitz-continuous in the supremum norm. Our results require neither the Markov property, nor any differentiability conditions on the functional or the coefficients of the stochastic differential equations involved.

Recommendations

• Explicit form and robustness of martingale representations.
• Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
• Functional Itō calculus and stochastic integral representation of martingales
• Weak approximations for Wiener functionals
• A new approach to the martingale representation theorem

Cites work

• A functional extension of the Ito formula
• A generalized formula of Ito and some other properties of stochastic flows
• A new approach to the martingale representation theorem
• A short proof of a martingale representation result
• An extension of clark' formula
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Applications of Malliavin calculus to Monte-Carlo methods in finance. II
• Change of variable formulas for non-anticipative functionals on path space
• Computation of Greeks for barrier and look-back options using Malliavin calculus
• Discrete Sampling of Functionals of Ito Processes
• Discretization and simulation of stochastic differential equations
• Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
• Explicit form and robustness of martingale representations.
• Functional Itō calculus and stochastic integral representation of martingales
• Functionals of diffusion processes as stochastic integrals
• scientific article; zbMATH DE number 5010396 (Why is no real title available?)
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Malliavin calculus and its applications
• Malliavin Greeks without Malliavin calculus
• Malliavin Monte Carlo Greeks for jump diffusions
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Numerical probability. An introduction with applications to finance
• On the integral representation of functionals of ltd processest
• Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Weak approximations for Wiener functionals

Cited in

(16)

• On pathwise quadratic variation for càdlàg functions
• Weak differentiability of Wiener functionals and occupation times
• The weak functional representation of historical martingales
• Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
• Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
• On the support of solutions to stochastic differential equations with path-dependent coefficients
• Pathwise integration with respect to paths of finite quadratic variation
• Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
• Weak convergence methods for approximation of the evaluation of path-dependent functionals
• Weak approximation rates for integral functionals of Markov processes
• Weak approximations for Wiener functionals
• Weak approximations. A Malliavin calculus approach
• Unbiased deep solvers for linear parametric PDEs
• Canonical representation of weak semimartingales defined on the plane
• Wong-Zakai approximations for stochastic differential equations with path-dependent coefficients
• Wong-Zakai approximations for stochastic Volterra equations

This page was built for publication: Weak approximation of martingale representations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5962610)