Constructive martingale representation in functional It\^o calculus: a local martingale extension
Probability
2018-12-11 v3
Abstract
The constructive martingale representation theorem of functional It\^o calculus 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.
Keywords
Cite
@article{arxiv.1611.09214,
title = {Constructive martingale representation in functional It\^o calculus: a local martingale extension},
author = {Kristoffer Lindensjö},
journal= {arXiv preprint arXiv:1611.09214},
year = {2018}
}