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Weak approximation of martingale representations - MaRDI portal

Weak approximation of martingale representations (Q5962610)

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scientific article; zbMATH DE number 6541540
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English
Weak approximation of martingale representations
scientific article; zbMATH DE number 6541540

    Statements

    title
    Weak approximation of martingale representations (English)
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    author
    Rama Cont
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    Yi Lu
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    publication date
    15 February 2016
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    zbMATH Keywords
    martingale representations
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    stochastic differential equations
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    semimartingales
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    functional Itô calculus
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    Clark-Ocone formula
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    Malliavin calculus
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    Euler approximation
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    cites work
    Q3374063
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    Q3626836
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    Q4029028
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    Q4435813
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    Q4226355
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    Identifiers

    Mathematics Subject Classification ID
    60H10
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    60G44
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    60F05
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    60H07
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    60G48
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    60H35
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    zbMATH DE Number
    6541540
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    OpenAlex ID
    W1762184644
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    arXiv ID
    1501.00383
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