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Constructive martingale representation in functional Itô calculus: a local martingale extension
Stockholm University, Faculty of Science, Department of Mathematics.
2018 (English)In: Stochastic Processes and Applications: SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017 / [ed] Sergei Silvestrov, Anatoliy Malyarenko, Milica Rančić, Cham: Springer , 2018, p. 165-172Chapter in book (Refereed)
Abstract [en]

The constructive martingale representation theorem of functional Itô cal-culus is extended, from the space of square integrable martingales, to the space of local martingales. The setting is that of an augmented filtration generated by a Wiener process.

Place, publisher, year, edition, pages
Cham: Springer , 2018. p. 165-172
Series
Springer Proceedings in Mathematics & Statistics, ISSN 2194-1009, E-ISSN 2194-1017 ; 271
Keywords [en]
Functional Itô calculus, Martingale representation
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:su:diva-164781DOI: 10.1007/978-3-030-02825-1_9ISBN: 978-3-030-02825-1 (electronic)ISBN: 978-3-030-02824-4 (print)OAI: oai:DiVA.org:su-164781DiVA, id: diva2:1280210
Available from: 2019-01-18 Created: 2019-01-18 Last updated: 2019-02-01Bibliographically approved

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