Related papers: Constructive martingale representation in function…
We derive two types of representation results for increasing convex functionals in terms of countably additive measures. The first is a max-representation of functionals defined on spaces of real-valued continuous functions and the second a…
We derive It\^o-type change of variable formulas for smooth functionals of irregular paths with non-zero $p-$th variation along a sequence of partitions where $p \geq 1$ is arbitrary, in terms of fractional derivative operators, extending…
When a strict local martingale is projected onto a subfiltration to which it is not adapted, the local martingale property may be lost, and the finite variation part of the projection may have singular paths. This phenomenon has…
We consider some versions and generalizations of an approach to the expansion of iterated Ito stochastic integrals of arbitrary multiplicity $k$ $(k\in\mathbb{N})$ based on generalized multiple Fourier series. Expansions of iterated…
Motivated by applications to SPDEs we extend the It\^o formula for the square of the norm of a semimartingale $y(t)$ from Gy\"ongy and Krylov (Stochastics 6(3):153-173, 1982) to the case \begin{equation*} \sum_{i=1}^m \int_{(0,t]}…
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…
In this paper we explain that the natural filtration of a continuous Hunt process is continuous, and show that martingales over such a filtration are continuous. We further establish a martingale representation theorem for a class of…
We consider a filtration $\mathbb{G}$ obtained as enlargement of a filtration $\mathbb{F}$ by a filtration $\mathbb{H}$. We assume that all $\mathbb{F}$-local martingales are represented by a martingale $M$ and all $\mathbb{H}$-local…
Motivated by questions arising in financial mathematics, Dupire introduced a notion of smoothness for functionals of paths (different from the usual Fr\'echet--Gat\'eaux derivatives) and arrived at a generalization of It\=o's formula…
By using the localized character of canonical coherent states, we give a straightforward derivation of the Bargmann integral representation of Wigner function (W). A non-integral representation is presented in terms of a quadratic form…
In this paper we study the following problem: for a given bounded positive function $f$ on a filtered probability space can we find another function (a multiplier) $m$, $0\le m\le 1$, such that the function $mf$ is not ``too small'' but its…
A noncommutative Kunita-Watanabe-type representation theorem is established for the martingales of quasifree states of CCR algebras. To this end the basic theory of quasifree stochastic integrals is developed using the abstract It\^o…
In this paper we present an abstraction-refinement approach to Satisfiability Modulo the theory of transcendental functions, such as exponentiation and trigonometric functions. The transcendental functions are represented as uninterpreted…
We develop and investigate a general theory of representations of second-order functionals, based on a notion of a right comodule for a monad on the category of containers. We show how the notion of comodule representability naturally…
In Chapter 3 of his Notes on constructive mathematics, Martin-L{\"o}f describes recursively constructed ordinals. He gives a constructively acceptable version of Kleene's computable ordinals. In fact, the Turing definition of computable…
The integral representation theorem for martingales has been widely used in probability theory. In this work, we propose and prove a general representation theorem for a class of set-valued submartingales. We also extend the stochastic…
We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-dependent generator of this exponential operator only depends…
We consider a standard optimal investment problem in a complete financial market driven by a Wiener process and derive an explicit formula for the optimal portfolio process in terms of the vertical derivative from functional It^o calculus.…
We show that one can use model categories to construct rational orthogonal calculus. That is, given a continuous functor from vector spaces to based spaces one can construct a tower of approximations to this functor depending only on the…
We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent generator of this exponential operator is equal to one half times…