A short proof of a martingale representation result

DOI10.1016/0167-7152(88)90008-9zbMath0645.60053OpenAlexW1972945582MaRDI QIDQ1103266

Robert J. Elliott, Michael Kohlmann

Publication date: 1988

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(88)90008-9

zbMATH Keywords

stochastic differential equationstochastic flowsmartingale representation theoremunique decomposition of special semi-martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60)

Related Items (11)

A functional Itô's calculus approach to convex risk measures with jump diffusion ⋮ The optimal control of diffusions ⋮ Direct solutions of Kolmogorov's equations by stochastic flows ⋮ Functional Itō calculus and stochastic integral representation of martingales ⋮ Arbitrage Values Generally Depend On A Parametric Rate of Return ⋮ Integration by parts and martingale representation for a Markov chain ⋮ Martingale representation and hedging policies ⋮ A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows ⋮ Martingale representation theorem for G-Brownian motion ⋮ On some applications of Sobolev flows of SDEs with unbounded drift coefficients ⋮ Weak approximation of martingale representations

Cites Work

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• Functionals of diffusion processes as stochastic integrals
• On the integral representation of functionals of ltd processest
• Correction Notes: Correction to "The Representation of Functionals of Brownian Motion by Stochastic Integrals"

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